Moderate Deviations and Invariance Principles for Sample Average Approximations

DOI10.1137/22M1484584zbMATH Open1519.90134MaRDI QIDQ6158005FDOQ6158005

Authors: Mingjie Gao, Ka Fai Cedric Yiu 

Publication date: 22 June 2023

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

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zbMATH Keywords

moderate deviationdelta methodinvariance principlesample average approximationfunctional limit

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cited In (4)

• Moderate deviations for stochastic variational inequalities
• On rates of convergence for sample average approximations in the almost sure sense and in mean
• Deviation inequalities, moderate deviation principles for certain Gaussian functionals, and their applications in parameter estimation
• An inexact semismooth Newton SAA-based algorithm for stochastic nonsmooth SOC complementarity problems with application to a stochastic power flow programming problem

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