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Large Deviations for the Method of Empirical Means in Stochastic Optimization Problems with Continuous Time Observations

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Optimization Methods and Applications

Part of the book series: Springer Optimization and Its Applications ((SOIA,volume 130))

Abstract

In this paper we consider the large deviation problem for the method of empirical means in stochastic optimization with continuous time observations. For discrete time models this problem was studied in Knopov and Kasitskaya (Cybern Syst Anal 4:52–61, 2004; Cybern Syst Anal 5:40–45, 2010).

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References

  1. Knopov, P.S., Kasitskaya E.J.: Empirical Estimates in Stochastic Optimization and Identification. Kluwer, Dordrecht (2005)

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Authors and Affiliations

  1. V.M. Glushkov Institute of Cybernetics NAS of Ukraine, Kyiv, Ukraine

    Pavel S. Knopov & Evgenija J. Kasitskaya

Authors
  1. Pavel S. Knopov
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  2. Evgenija J. Kasitskaya
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Corresponding author

Correspondence to Pavel S. Knopov .

Editor information

Editors and Affiliations

  1. Industrial & Systems Engineering, Texas A&M University, College Station, Texas, USA

    Sergiy Butenko

  2. Department of Industrial and Systems Engineering, University of Florida, Gainesville, Florida, USA

    Panos M. Pardalos

  3. Methods of Discrete Optimization, V.M. Glushkov Institute of Cybernetics, Kyiv, Ukraine

    Volodymyr Shylo

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Knopov, P.S., Kasitskaya, E.J. (2017). Large Deviations for the Method of Empirical Means in Stochastic Optimization Problems with Continuous Time Observations. In: Butenko, S., Pardalos, P., Shylo, V. (eds) Optimization Methods and Applications . Springer Optimization and Its Applications, vol 130. Springer, Cham. https://doi.org/10.1007/978-3-319-68640-0_13

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