1. Stability of stochastic optimization problems - nonmeasurable case
- Creator:
- Lachout, Petr
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- stability of stochastic optimization problem, weak convergence of probability measures, estimator consistency, and metric spaces
- Language:
- English
- Description:
- This paper deals with stability of stochastic optimization problems in a general setting. Objective function is defined on a metric space and depends on a probability measure which is unknown, but, estimated from empirical observations. We try to derive stability results without precise knowledge of problem structure and without measurability assumption. Moreover, ε-optimal solutions are considered. The setup is illustrated on consistency of a ε-M -estimator in linear regression model.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public