Large Deviations of Empirical Estimates in the Stochastic Programming Problem with Nonstationary Observations and Continuous Time
| Autor: | Pavel S. Knopov, Evgeniya J. Kasitskaya |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
021103 operations research
General Computer Science Stochastic process 010102 general mathematics 0211 other engineering and technologies 02 engineering and technology Function (mathematics) Sense (electronics) 01 natural sciences Stochastic programming Applied mathematics Large deviations theory 0101 mathematics Mixing (physics) Mathematics |
| Zdroj: | Cybernetics and Systems Analysis. 55:772-777 |
| ISSN: | 1573-8337 1060-0396 |
| DOI: | 10.1007/s10559-019-00187-8 |
| Popis: | The paper considers a stochastic programming problem with the empirical function constructed based on nonstationary observations and continuous time. A random process, stationary in a narrow sense and satisfying the strong mixing condition is investigated in the problem. The conditions under which the empirical estimate is consistent are given and large deviations of the estimate are considered. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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