ON LARGE DEVIATIONS OF EMPIRICAL ESTIMATES IN A STOCHASTIC PROGRAMMING PROBLEM WITH TIME-DEPENDENT OBSERVATIONS

被引：7

作者：

Knopov, P. S. ^{[1
]}

Kasitskaya, E. J. ^{[1
]}

机构：

[1] Natl Acad Sci Ukraine, VM Glushkov Inst Cybernet, Kiev, Ukraine

来源：

CYBERNETICS AND SYSTEMS ANALYSIS | 2010年 / 46卷 / 05期

关键词：

stochastic programming problem; stationary ergodic random sequence; strong mixing condition; large deviations;

D O I：

10.1007/s10559-010-9253-7

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

The paper considers a stochastic programming problem with an empirical function constructed based on time-dependent observations. A strictly stationary random sequence that satisfies a strong mixing condition is investigated. The conditions under which an empirical estimate is consistent are given, and large deviations of the estimate are considered.

引用

页码：724 / 728

页数：5

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