On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse
نویسندگان
چکیده
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.
منابع مشابه
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عنوان ژورنال:
- Math. Meth. of OR
دوره 47 شماره
صفحات -
تاریخ انتشار 1998