Central limit theorem and sample complexity of stationary stochastic programs

DOI10.1016/J.ORL.2021.06.019MaRDI QIDQ2060347zbMATH OpenOpenAlexFDO

Authors Alexander Shapiro, Yi. Cheng

Publication date 13 December 2021

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2021.06.019

zbMATH Keywords

dynamic programmingoptimal controlrisk-averseSDDP algorithm

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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• First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
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Cites work

• Coherent measures of risk
• Foundations of inventory management
• scientific article; zbMATH DE number 1502618 (Why is no real title available?)
• Lectures on stochastic programming. Modeling and theory.
• Periodical multistage stochastic programs
• Risk neutral and risk averse stochastic dual dynamic programming method
• Risk neutral reformulation approach to risk averse stochastic programming
• Stochastic optimal control. The discrete time case

Cited in

(2)

• Multi-stage distributionally robust convex stochastic optimization with Bayesian-type ambiguity sets
• Epi-consistent approximationof stochastic dynamic programs

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