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On large deviations of empirical estimates in a stochastic programming problem with time-dependent observations

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Cybernetics and Systems Analysis Aims and scope

Abstract

The paper considers a stochastic programming problem with an empirical function constructed based on time-dependent observations. A strictly stationary random sequence that satisfies a strong mixing condition is investigated. The conditions under which an empirical estimate is consistent are given, and large deviations of the estimate are considered.

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References

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Authors and Affiliations

  1. V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine

    P. S. Knopov & E. J. Kasitskaya

Authors
  1. P. S. Knopov
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  2. E. J. Kasitskaya
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Correspondence to P. S. Knopov.

Additional information

Translated from Kibernetika i Sistemnyi Analiz, No. 5, pp. 46–50, September–October 2010.

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Knopov, P.S., Kasitskaya, E.J. On large deviations of empirical estimates in a stochastic programming problem with time-dependent observations. Cybern Syst Anal 46, 724–728 (2010). https://doi.org/10.1007/s10559-010-9253-7

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  • DOI: https://doi.org/10.1007/s10559-010-9253-7

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