Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints

Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints

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Article ID: iaor200954130
Country: United States
Volume: 32
Issue: 3
Start Page Number: 648
End Page Number: 668
Publication Date: Aug 2007
Journal: Mathematics of Operations Research
Authors: ,
Keywords: programming: probabilistic
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.

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