Estimation and asymptotics for buffered probability of exceedance

DOI10.1016/j.ejor.2018.01.021zbMath1403.90537OpenAlexW2783983856MaRDI QIDQ723976

Alexander Shapiro, Stan Uryasev, Alexander Mafusalov

Publication date: 25 July 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.01.021

zbMATH Keywords

stochastic programmingrare eventssample average approximationbuffered probability of exceedanceminimum volume ellipsoid

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Convex programming (90C25) Stochastic programming (90C15) Interior-point methods (90C51)

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Cites Work

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• Variational Analysis
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Computation of Minimum-Volume Covering Ellipsoids