Tuesday, 13:15 - 13:40 h, Room: MA 144

 

Johannes Royset
Nonparametric estimation using exponential epi-splines

Coauthor: Roger Wets

 

Abstract:
We develop a flexible framework for nonparametric estimation of probability density functions that systematically
incorporates soft information from human sources
and experiences. The framework results in infinite dimensional stochastic optimization problems that are replaced by finite dimensional approximations based on exponential epi-splines. We show consistency of approximations as the order of the epi-spline grows as well as the sample size tends to infinity. We also discuss asympotics and the implementation of soft information that dramatically improves the quality of the estimates.

 

Talk 1 of the invited session Tue.2.MA 144
"Topics in stochastic programming" [...]
Cluster 22
"Stochastic optimization" [...]

 

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