Estimation and asymptotics for buffered probability of exceedance
Alexander Mafusalov, Alexander Shapiro, Stan Uryasev
| Year of publication: |
1 November 2018
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| Authors: | Mafusalov, Alexander ; Shapiro, Alexander ; Uryasev, Stan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 270.2018, 3 (1.11.), p. 826-836
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| Subject: | Stochastic programming | Buffered probability of exceedance | Sample average approximation | Rare events | Minimum volume ellipsoid | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Mathematische Optimierung | Mathematical programming | Stichprobenerhebung | Sampling |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.01.021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011882603