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Lookup NU author(s): Dr Mihail Zervos
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The problem of strong consistency of sequences of optimal solutions to stochastic optimization problems is considered. This problem is related to a large number of applications including Bayesian decision problems and Monte Carlo simulations, as well as a number of statistical methodologies such as maximum likelihood estimation. The theory of epiconvergence being a framework within which such results can be established, the epiconvergence of the performance criteria of a sequence of stochastic optimization problems is proved under simple weak assumptions.
Author(s): Zervos M
Publication type: Article
Publication status: Published
Journal: Mathematics of Operations Research
Year: 1999
Volume: 24
Issue: 2
Pages: 495-508
Print publication date: 01/01/1999
ISSN (print): 0364-765X
ISSN (electronic): 1526-5471
Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
URL: http://dx.doi.org/10.1287/moor.24.2.495
DOI: 10.1287/moor.24.2.495
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