Abstract
Using statistical data instead of true underlying distributions in a stochastic optimizationproblem leads to an approximation error. We discuss how bounds for this error can be derivedfrom results on uniformity in the law of large numbers.
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Pflug, G.C. Stochastic programs and statistical data. Annals of Operations Research 85, 59–78 (1999). https://doi.org/10.1023/A:1018982129937
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DOI: https://doi.org/10.1023/A:1018982129937