On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse

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. Copyright Physica-Verlag 1998

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Year of publication:	1998
Authors:	Pflug, Georg ; Ruszczyński, Andrzej ; Schultz, Rüdiger
Published in:	Computational Statistics. - Springer. - Vol. 47.1998, 1, p. 39-49
Publisher:	Springer
Subject:	Stochastic Programming \| Empirical Measures \| Uniform Convergence \| Value Functions of Mixed-Integer Linear Programs

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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