Consistency of Sample Estimates of Risk Averse Stochastic Programs. (30th January 2018)
- Record Type:
- Journal Article
- Title:
- Consistency of Sample Estimates of Risk Averse Stochastic Programs. (30th January 2018)
- Main Title:
- Consistency of Sample Estimates of Risk Averse Stochastic Programs
- Authors:
- Shapiro, Alexander
- Abstract:
- Abstract : In this paper we study asymptotic consistency of law invariant convex risk measures and the corresponding risk averse stochastic programming problems for independent, identically distributed data. Under mild regularity conditions, we prove a law of large numbers and epiconvergence of the corresponding statistical estimators. This can be applied in a straightforward way to establish convergence with probability 1 of sample-based estimators of risk averse stochastic programming problems.
- Is Part Of:
- Journal of applied probability. Volume 50:Number 2(2013)
- Journal:
- Journal of applied probability
- Issue:
- Volume 50:Number 2(2013)
- Issue Display:
- Volume 50, Issue 2 (2013)
- Year:
- 2013
- Volume:
- 50
- Issue:
- 2
- Issue Sort Value:
- 2013-0050-0002-0000
- Page Start:
- 533
- Page End:
- 541
- Publication Date:
- 2018-01-30
- Subjects:
- Law invariant convex and coherent risk measures, -- stochastic programming, -- law of large numbers, -- consistency of statistical estimators, -- epiconvergence, -- sample average approximation
62F12, -- 90C15
519.2 - Journal URLs:
- https://www.cambridge.org/core/journals/journal-of-applied-probability ↗
- DOI:
- 10.1239/jap/1371648959 ↗
- Languages:
- English
- ISSNs:
- 0021-9002
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 14636.xml