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math.OC2025
Failure of uniform laws of large numbers for subdifferentials and beyond
Lai Tian, Johannes O. Royset
We provide counterexamples showing that uniform laws of large numbers do not hold for subdifferentials under natural assumptions. Our constructions are univariate random Lipschitz…
math.OC2025
Approximating Rockafellians Mitigate Distributional Perturbations: Discontinuous Integrands and Chance-Constrained Applications
Lai Tian, Johannes O. Royset
In this paper, we show how approximating Rockafellians serve as a principled and effective alternative for improving the stability of stochastic programs under distributional chang…
math.OC2025
Epi-Consistent Approximation of Stochastic Dynamic Programs
Dominic S. T. Keehan, Johannes O. Royset
We study the consistency of stochastic dynamic programs under converging probability distributions and other approximations. Utilizing results on the epi-convergence of expectation…