Browsing Rede de Pesquisa e Conhecimento Aplicado by Title "Non-asymptotic confidence bounds for the optimal value of a stochastic program"

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    • Non-asymptotic confidence bounds for the optimal value of a stochastic program 

      Guigues, Vincent Gérard Yannick; Juditsky, Anatoli; Nemirovski, Arkadi Semenovich
      2016
      We discuss a general approach to building non-asymptotic confidence bounds for stochastic optimization problems. Our principal contribution is the observation that a Sample Average Approximation of a problem supplies upper ...