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Asymptotics of statistical estimates in stochastic programming problems with long-range dependent samples

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Abstract.

In this paper we investigate the asymptotics of the statistical estimates of the optimal value and the optimal solution in stochastic programming problems, which has long range dependent samples. The asymptotic distribution and the convergence rate of these estimates are studied.

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Authors and Affiliations

  1. Dept. of Mathematics, Nanjing University, Nanjing, 210093, China (e-mail: wlhmaths@263.net), , , , , , CN

    Lihong Wang

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  1. Lihong Wang
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Manuscript received: April 2001/Final version received: October 2001

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Wang, L. Asymptotics of statistical estimates in stochastic programming problems with long-range dependent samples. Mathematical Methods of OR 55, 37–54 (2002). https://doi.org/10.1007/s001860200171

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  • DOI: https://doi.org/10.1007/s001860200171

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