empirical approximation – Optimization Online

Asymptotic Consistency for Nonconvex Risk-Averse Stochastic Optimization with Infinite Dimensional Decision Spaces

Published: 2022/07/22

Optimization of Systems modeled by PDEs, Stochastic Programming, Systems governed by Differential Equations Optimization asymptotic consistency, empirical approximation, monte carlo sampling, pde-constrained optimization, risk averse optimization, sample average approximation, stochastic programming, uncertainty quantification

Optimal values and solutions of empirical approximations of stochastic optimization problems can be viewed as statistical estimators of their true values. From this perspective, it is important to understand the asymptotic behavior of these estimators as the sample size goes to infinity, which is both of theoretical as well as practical interest. This area of … Read more