Sample average approximation of expected value constrained stochastic programs
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Cites work
- An introduction to the theory of large deviations
- Call center staffing with simulation and cutting plane methods
- Duality in stochastic linear and dynamic programming
- Handling CVaR objectives and constraints in two-stage stochastic models
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
- Sample average approximation of expected value constrained stochastic programs
- Statistical approximations for recourse constrained stochastic programs
- The sample average approximation method for stochastic discrete optimization
Cited in
(62)- Sample average approximation method for chance constrained programming: Theory and applications
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
- Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system
- A provisioning problem with stochastic payments
- Multi-resource allocation in stochastic project scheduling
- Robustness in stochastic programs with risk constraints
- Data-driven tuning for chance constrained optimization: analysis and extensions
- On sample average approximation for two-stage stochastic programs without relatively complete recourse
- Asymptotic behavior of solutions: an application to stochastic NLP
- Algorithms for stochastic optimization with function or expectation constraints
- On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation
- Sample average approximation with sparsity-inducing penalty for high-dimensional stochastic programming
- A simulation optimization approach for a two-echelon inventory system with service level constraints
- On relations between chance constrained and penalty function problems under discrete distributions
- Aspects of optimization with stochastic dominance
- A composite risk measure framework for decision making under uncertainty
- Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
- Reformulations of input-output oriented DEA tests with diversification
- Variance reduction in sample approximations of stochastic programs
- Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
- Logarithmic sample bounds for sample average approximation with capacity- or budget-constraints
- An index-based deterministic convergent optimal algorithm for constrained multi-armed bandit problems
- Sample average approximations of strongly convex stochastic programs in Hilbert spaces
- The sample average approximation method for stochastic discrete optimization
- Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
- Stochastic programming problems with generalized integrated chance constraints
- The minimum spanning k-core problem with bounded CVaR under probabilistic edge failures
- Monte Carlo methods for mean-risk optimization and portfolio selection
- Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints
- Minimizing conditional-value-at-risk for stochastic scheduling problems
- Sample average approximation of stochastic dominance constrained programs
- Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
- Nonlinear stochastic programming involving \textit{CVaR} in the objective and constraints
- A central limit theorem and hypotheses testing for risk-averse stochastic programs
- A smoothing function approach to joint chance-constrained programs
- Chance-Constrained Multiple Bin Packing Problem with an Application to Operating Room Planning
- General feasibility bounds for sample average approximation via Vapnik-Chervonenkis dimension
- On feasibility of sample average approximation solutions
- Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
- Overlapping batches for the assessment of solution quality in stochastic programs
- Sample average approximation method for compound stochastic optimization problems
- Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
- Convex stochastic fluid programs with average cost.
- Sample average approximation with heavier tails. I: Non-asymptotic bounds with weak assumptions and stochastic constraints
- Stochastic optimization problems with CVaR risk measure and their sample average approximation
- Conditional value‐at‐risk beyond finance: a survey
- Sample average approximation for risk-averse problems: a virtual power plant scheduling application
- Nonasymptotic upper estimates for errors of the sample average approximation method to solve risk averse stochastic programs
- Stochastic multiobjective optimization: Sample average approximation and applications
- Sample average approximation for stochastic programming with equality constraints
- First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
- A probability constrained dynamic switching optimization method for the energy dispatch strategy of hybrid power systems with renewable energy resources and uncertainty
- A stochastic augmented Lagrangian method for stochastic convex programming
- Optimality functions in stochastic programming
- Sample average approximation for portfolio optimization under CVaR constraint in a (re)insurance context
- An asymptotically optimal strategy for constrained multi-armed bandit problems
- Confidence-based reasoning in stochastic constraint programming
- Sleeping experts and bandits approach to constrained Markov decision processes
- Sample average approximation of expected value constrained stochastic programs
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