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We derive exponential bounds on probabilities of large deviations for "light tail" martingales taking values in finite-dimensional normed spaces.
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Juditsky, A., Lan, G., Nemirovski, A., Shapiro, A., “Stochastic Approximation approach to Stochastic Programming” – To appear in SIAM J. Optim
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Nemirovski, A., “On tractable approximations of randomly perturbed convex constraints” – Proceedings of the 42nd IEEE Conference on Decision and Control Maui, Hawaii USA, December 2003
2003
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Nemirovski, A. (2004), Regular Banach spaces and large deviations of random sums
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2007
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