A note on uniform exponential convergence of sample average approximation of random functions

DOI10.1016/j.jmaa.2011.07.007zbMath1251.90300OpenAlexW2089755116MaRDI QIDQ641631

Hailin Sun, Huifu Xu

Publication date: 24 October 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.07.007

zbMATH Keywords

sample average approximationrandom functionsalmost H-calmuniform exponential convergence

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (8)

Stochastic Nash equilibrium problems: sample average approximation and applications ⋮ Acceleration on Adaptive Importance Sampling with Sample Average Approximation ⋮ On Feasibility of Sample Average Approximation Solutions ⋮ Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints ⋮ Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions ⋮ Developing equilibrium optimization methods for hub location problems ⋮ Two-stage stochastic equilibrium problems with equilibrium constraints: modeling and numerical schemes ⋮ Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse

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