2000 | OriginalPaper | Buchkapitel
An Ergodic Theorem for Stochastic Programming Problems
verfasst von : Lisa A. Korf, Roger J-B Wets
Erschienen in: Optimization
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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To justify the use of sampling to solve stochastic programming problems one usually relies on a law of large numbers for random lsc (lower semicontinuous) functions when the samples come from independent, identical experiments. If the samples come from a stationary process, one can appeal to the ergodic theorem proved here. The proof relies on the ‘scalarization’ of random lsc functions.