3 papers
math.ST2025
Central limit theorems for vector-valued composite functionals with smoothing and applications
Huihui Chen, Darinka Dentcheva, Yang Lin +1
This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when…
math.OC2022
Stability and Sample-based Approximations of Composite Stochastic Optimization Problems
Darinka Dentcheva, Yang Lin, Spiridon Penev
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which…
math.ST2021
Bias Reduction in Sample-Based Optimization
Darinka Dentcheva, Yang Lin
We consider stochastic optimization problems which use observed data to estimate essential characteristics of the random quantities involved. Sample average approximation (SAA) or…