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The paper considers a stochastic programming problem with the empirical function constructed based on nonstationary observations and continuous time. A random process, stationary in a narrow sense and satisfying the… Click to show full abstract
The paper considers a stochastic programming problem with the empirical function constructed based on nonstationary observations and continuous time. A random process, stationary in a narrow sense and satisfying the strong mixing condition is investigated in the problem. The conditions under which the empirical estimate is consistent are given and large deviations of the estimate are considered.
Keywords:
programming problem;
stochastic programming;
nonstationary observations;
observations continuous;
continuous time;
problem
Journal Title: Cybernetics and Systems Analysis
Year Published: 2019
Link to full text (if available)
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Journal Title: Cybernetics and Systems Analysis
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!