Notes on asymptotic properties of approximated stochastic programs

Abstrakt

For various reasons, the underlying probability measure in stochastic programming models must be frequently substituted by a suitable approximation. This in turn requires to investigate stability of solutions of these models with respect to the probability measure.

This paper is devoted to a discussion about asymptotic properties of empirical stochastic programs where the true probability measure is replaced by its empirical counterpart.

Klíčová slova

• Stochastic programs
• approximated probability distributions
• asymptotic analysis
• Sample Average Approximation