-

 

 

 




Optimization Online





 

Uniform Laws of Large Numbers for Set-Valued Mappings and Subdifferentials of Random Functions

Alexander Shapiro (ashapiro***at***isye.gatech.edu)
Huifu Xu (h.xu***at***maths.soton.ac.uk)

Abstract: We derive a uniform (strong) Law of Large Numbers (LLN) for random set-valued mappings. The result can be viewed as an extension of both, a uniform LLN for random functions and LLN for random sets. We apply the established results to a consistency analysis of stationary points of sample average approximations of nonsmooth stochastic programs.

Keywords: random sets, Artstein-Vitale Law of Large Numbers, set-valued mappings, uniform LLN, generalized gradients, stochastic programming, sample average approximation

Category 1: Stochastic Programming

Citation:

Download: [PDF]

Entry Submitted: 12/19/2005
Entry Accepted: 12/19/2005
Entry Last Modified: 12/19/2005

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society