Convergence Analysis of Sample Average Approximation of Two-Stage Stochastic Generalized Equations
نویسندگان
چکیده
منابع مشابه
Convergence of Stationary Points of Sample Average Two-Stage Stochastic Programs: A Generalized Equation Approach
This paper presents an asymptotic analysis of a Monte Carlo method, variously known as sample average approximation (SAA) or sample path optimization (SPO), for a general two-stage stochastic minimization problem. We study the case when the second-stage problem may have multiple local optima or stationary points that are not global solutions and SAA is implemented using a general nonlinear prog...
متن کاملThe Sample Average Approximation Method for 2-stage Stochastic Optimization
We consider the Sample Average Approximation (SAA) method for 2-stage stochastic optimization problems with recourse and prove a polynomial time convergence theorem for the SAA method. In the 2-stage recourse model, where one makes decisions in two steps. First, given only distributional information about (some of) the data, one commits on initial (first-stage) actions, and then once the actual...
متن کاملUniform Convergence of Sample Average Approximation with Adaptive Importance Sampling
We study sample average approximations under adaptive importance sampling. Based on a Banach-space-valued martingale strong law of large numbers, we establish uniform convergence of the sample average approximation to the function being approximated. In the optimization context, we obtain convergence of the optimal value and optimal solutions of the sample average approximation.
متن کاملConvergence Analysis of the Generalized Alternating Two-Stage Method
In this paper, we give the generalized alternating twostage method in which the inner iterations are accomplished by a generalized alternating method. And we present convergence results of the method for solving nonsingular linear systems when the coefficient matrix of the linear system is a monotone matrix or an H-matrix. Keywords—generalized alternating two-stage method, linear system, conver...
متن کاملSample average approximation of expected value constrained stochastic programs
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). Our contributions include an analysis of the convergence rate and a statistical validation scheme for the proposed SAA method. Computational results using ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2019
ISSN: 1052-6234,1095-7189
DOI: 10.1137/17m1162822