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
收藏
页码：724 / 728
页数：5
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