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Asymptotic analysis of stochastic programs

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Abstract

In this paper we discuss a general approach to studying asymptotic properties of statistical estimators in stochastic programming. The approach is based on an extended delta method and appears to be particularly suitable for deriving asymptotics of the optimal value of stochastic programs. Asymptotic analysis of the optimal value will be presented in detail. Asymptotic properties of the corresponding optimal solutions are briefly discussed.

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Authors and Affiliations

  1. Department of Mathematics and Applied Mathematics, University of South Africa, 0001, Pretoria, South Africa

    Alexander Shapiro

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Shapiro, A. Asymptotic analysis of stochastic programs. Ann Oper Res 30, 169–186 (1991). https://doi.org/10.1007/BF02204815

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