Asymptotics of minimax stochastic programs
Alexander Shapiro (ashapiroisye.gatech.edu)
Abstract: We discuss in this paper asymptotics of the sample average approximation (SAA) of the optimal value of a minimax stochastic programming problem. The main tool of our analysis is a specific version of the infinite dimensional Delta Method. As an example, we discuss asymptotics of SAA of risk averse stochastic programs involving the absolute semideviation risk measure.
Keywords: sample average approximation, infinite dimensional delta method, functional Central Limit Theorem, minimax stochastic programming, absolute semideviation risk measure.
Category 1: Stochastic Programming
Entry Submitted: 10/03/2006
Modify/Update this entry
|Visitors||Authors||More about us||Links|
Search, Browse the Repository
Give us feedback
|Optimization Journals, Sites, Societies|