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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.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…
math.ST2015
Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems
Darinka Dentcheva, Spiridon Penev, Andrzej Ruszczynski
We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures o…