-

 

 

 




Optimization Online





 

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

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society