Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints (Q2436650)
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scientific article; zbMATH DE number 6261681
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| English | Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints |
scientific article; zbMATH DE number 6261681 |
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Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints (English)
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25 February 2014
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It is proved that optimal and stationary points obtained by means of solution of sample average approximated problem converge with the probability one to their true counterparts of the initial problem specified in the title of the paper.
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second order dominance
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stationary points
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KKT conditions
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exponential convergence
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0.8565125465393066
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0.8502184152603149
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0.8442733287811279
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0.8285062313079834
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