Worst-case large deviations upper bounds for i.i.d. sequencesunder ambiguity

DOI10.3906/MAT-1607-20zbMath1424.60027OpenAlexW2790636115MaRDI QIDQ4633747

Mustafa Çelebi Pinar

Publication date: 3 May 2019

Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3906/mat-1607-20

zbMATH Keywords

ellipsoidslarge deviationsambiguityrobust optimizationmin-max theoremLegendre-Fenchel transform

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Large deviations (60F10)

Cites Work

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• Robust Solutions to Least-Squares Problems with Uncertain Data
• Robust large deviations performance analysis for large sample detectors
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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