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Title: Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
Authors: Meng, F.W.
Sun, J. 
Goh, M. 
Keywords: Conditional value-at-risk
Sample average approximation
Stochastic optimization
Variational analysis
Issue Date: 2010
Citation: Meng, F.W., Sun, J., Goh, M. (2010). Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation. Journal of Optimization Theory and Applications 146 (2) : 399-418. ScholarBank@NUS Repository.
Abstract: We provide a refined convergence analysis for the SAA (sample average approximation) method applied to stochastic optimization problems with either single or mixed CVaR (conditional value-at-risk) measures. Under certain regularity conditions, it is shown that any accumulation point of the weak GKKT (generalized Karush-Kuhn-Tucker) points produced by the SAA method is almost surely a weak stationary point of the original CVaR or mixed CVaR optimization problems. In addition, it is shown that, as the sample size increases, the difference of the optimal values between the SAA problems and the original problem tends to zero with probability approaching one exponentially fast. © 2010 Springer Science+Business Media, LLC.
Source Title: Journal of Optimization Theory and Applications
ISSN: 00223239
DOI: 10.1007/s10957-010-9676-3
Appears in Collections:Staff Publications

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