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On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse |
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| Authors: | Georg Ch. Pflug Andrzej Ruszczyński Rüdiger Schultz |
| Affiliation: | (1) Institut für Statistik und Operations Research, Universität Wien, Universitätsstraße 5, A-1090 Wien, Austria;(2) Department of Management Science and Information Systems, Rutgers University, NJ08854 Piscataway, USA;(3) Mathematisches Institut, Universität Leipzig, Augustusplatz 10-11, D-04109 Leipzig, Germany |
| Abstract: | Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original expected recourse function is established. |
| Keywords: | Stochastic Programming Empirical Measures Uniform Convergence Value Functions of Mixed-Integer Linear Programs |
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