Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
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Publication:2436650
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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Cited in
(18)- Robust two-stage stochastic linear optimization with risk aversion
- Consistency bounds and support recovery of d-stationary solutions of sparse sample average approximations
- A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
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- Convergence of stationary points of sample average two-stage stochastic programs: a generalized equation approach
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- Optimization with reference-based robust preference constraints
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- Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
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- Approximating stationary points of stochastic optimization problems in Banach space
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