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Monte Carlo Optimization and Path Dependent Nonstationary Laws of Large Numbers

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  • Y.M. Ermoliev
  • V.I. Norkin
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    Abstract

    New types of laws of large numbers are derived by using connections between estimation and stochastic optimization problems. They enable one to "track" time-and-path dependent functionals by using, in general, nonlinear estimators. Proofs are based on the new stochastic version of the Lyapunov's method. Applications to Monte Carlo optimization, stochastic branch and bounds method and minimization of risk functions are discussed.

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    File URL: http://www.iiasa.ac.at/Publications/Documents/IR-98-009.pdf
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    File URL: http://www.iiasa.ac.at/Publications/Documents/IR-98-009.ps
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    Bibliographic Info

    Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number ir98009.

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    Date of creation: Mar 1998
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    Handle: RePEc:wop:iasawp:ir98009

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. T.Y. Ermolieva & Y.M. Ermoliev & V.I. Norkin, 1997. "Spatial Stochastic Model for Optimization Capacity of Insurance Networks Under Dependent Catastrophic Risks: Numerical Experiments," Working Papers ir97028, International Institute for Applied Systems Analysis.
    2. T.Y. Ermolieva, 1997. "The Design of Optimal Insurance Decisions in the Presence of Catastrophic Risks," Working Papers ir97068, International Institute for Applied Systems Analysis.
    3. V.I. Norkin & G.C. Pflug & A. Ruszczynski, 1996. "A Branch and Bound Method for Stochastic Global Optimization," Working Papers wp96065, International Institute for Applied Systems Analysis.
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    Cited by:
    1. Y.M. Ermoliev & T.Y. Ermolieva & G.J. MacDonald & V.I. Norkin, 1998. "On the Design of Catastrophic Risk Portfolios," Working Papers ir98056, International Institute for Applied Systems Analysis.
    2. Gritsevskyi, Andrii & Nakicenovi, Nebojsa, 2000. "Modeling uncertainty of induced technological change," Energy Policy, Elsevier, vol. 28(13), pages 907-921, November.

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