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

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Entry Submitted: 10/03/2006
Entry Accepted: 10/03/2006
Entry Last Modified: 10/03/2006

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