The scenario-based optimal value in uncertain optimal control converges at N^{-1/2} to a Gaussian limit, or to the lower envelope of a Gaussian process when multiple optima exist, enabling asymptotic confidence intervals.
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Statistical Inference for Scenario-Based Dynamic Optimization under Uncertainty
The scenario-based optimal value in uncertain optimal control converges at N^{-1/2} to a Gaussian limit, or to the lower envelope of a Gaussian process when multiple optima exist, enabling asymptotic confidence intervals.