Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints

DOI10.1287/MOOR.1070.0260MaRDI QIDQ5388053zbMATH OpenOpenAlexFDO

Authors Huifu Xu, Fanwen Meng

Publication date 27 May 2008

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/190cf1d613c92e29d5cfd94564cee5e8981b2f0c

zbMATH Keywords

random set-valued mappingssample average approximationsstationary pointsstrong law of large numbers

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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Cited in

(33)

• Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
• Single and multi-period optimal inventory control models with risk-averse constraints
• On the convergence of sample approximations for stochastic programming problems with probabilistic criteria
• An implementable SAA nonlinear Lagrange algorithm for constrained minimax stochastic optimization problems
• A smoothing SAA method for a stochastic mathematical program with complementarity constraints.
• Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
• Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems
• A smooth penalty-based sample average approximation method for stochastic complementarity problems
• A two stage stochastic equilibrium model for electricity markets with two way contracts
• Stochastic Nash equilibrium problems: sample average approximation and applications
• Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
• A sample average approximation method based on a D-gap function for stochastic variational inequality problems
• Sample average approximations of strongly convex stochastic programs in Hilbert spaces
• Convergence of stationary points of sample average two-stage stochastic programs: a generalized equation approach
• Sample average approximation method for a class of stochastic variational inequality problems
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints
• Stochastic mathematical programs with hybrid equilibrium constraints
• A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
• Stochastic optimization problems with CVaR risk measure and their sample average approximation
• On the convergence of coderivative of SAA solution mapping for a parametric stochastic generalized equation
• A class of smoothing SAA methods for a stochastic mathematical program with complementarity constraints
• Stochastic multiobjective optimization: Sample average approximation and applications
• Sample average approximation for stochastic programming with equality constraints
• Smoothing and SAA method for stochastic programming problems with non-smooth objective and constraints
• A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
• Approximating stationary points of stochastic optimization problems in Banach space
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming

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