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Convergence of stochastic average approximation for stochastic optimization problems with mixed expectation and per-scenario constraints

MIhai Anitescu(anitescu***at***mcs.anl.gov)
Birge John(John.Birge***at***chicagogsb.edu)

Abstract: We present a framework for ensuring convergence of sample average approximations to stochastic optimization problems that include expectation constraints in addition to per-scenario constraints.

Keywords: Sample average approximation, stochastic optimization, expectation constraints

Category 1: Stochastic Programming

Category 2: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: Preprint ANL/MCS 1562-1108

Download: [PDF]

Entry Submitted: 12/06/2008
Entry Accepted: 12/06/2008
Entry Last Modified: 12/06/2008

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