Please use this identifier to cite or link to this item:
https://doi.org/10.1007/s10957-010-9676-3
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. https://doi.org/10.1007/s10957-010-9676-3 | 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 | URI: | http://scholarbank.nus.edu.sg/handle/10635/44000 | ISSN: | 00223239 | DOI: | 10.1007/s10957-010-9676-3 |
Appears in Collections: | Staff Publications |
Show full item record
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.