Hypotheses testing on the optimal values of several risk-neutral or risk-averse convex stochastic programs and application to hypotheses testing on several risk measure values
Given an arbitrary number of risk-averse or risk-neutral convex stochastic programs, we study hypotheses testing problems aiming at comparing the optimal values of these stochastic programs on the basis of samples of the underlying random vectors. We propose non-asymptotic tests based on confidence intervals on the optimal values of the stochastic programs obtained using the … Read more