Convergence analysis of sample average approximation methods for a class of stochastic mathematical programs with equality constraints
Xu, H. Meng, F.
Xu, H.
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Abstract
In this paper we discuss the sample average approximation (SAA) method for a class of stochastic programs with nonsmooth equality constraints. We derive a uniform Strong Law of Large Numbers for random compact set-valued mappings and use it to investigate the convergence of Karush-Kuhn-Tucker points of SAA programs as the sample size increases. We also study the exponential convergence of global minimizers of the SAA problems to their counterparts of the true problem. The convergence analysis is extended to a smoothed SAA program. Finally, we apply the established results to a class of stochastic mathematical programs with complementarity constraints and report some preliminary numerical test results. ©2007 INFORMS.
Keywords
Random set-valued mappings, Sample average approximations, Stationary points, Strong law of large numbers
Source Title
Mathematics of Operations Research
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Date
2007-08
DOI
10.1287/moor.1070.0260
Type
Article