University of Washington - Department of Mathematics
Department of Mathematics Optimization Seminar
Solution procedures for stochastic programming problems, statistical estimation problems (constrained or not), stochastic optimal control problems and other stochastic optimization problems often rely on sampling. The justification for such an approach passes through 'consistency.' A comprehensive, satisfying and powerful technique is to obtain the consistency of the optimal solutions, statistical estimators, controls, etc., as a consequence of the consistency of the stochastic optimization problems themselves. To do this, one can appeal to the ergodicity properties of random lsc (lower semicontinuous) functions set forth in this lecture.