Sample average approximation of expected value constrained stochastic programs

Sample average approximation of expected value constrained stochastic programs

0.00 Avg rating0 Votes
Article ID: iaor20102878
Volume: 36
Issue: 5
Start Page Number: 515
End Page Number: 519
Publication Date: Sep 2008
Journal: Operations Research Letters
Authors: ,
Keywords: value at risk
Abstract:

We propose a sample average approximation (SAA) method for stochastic programming problems with expected value constraints. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). We provide a convergence analysis and a statistical validation scheme for the proposed method.

Reviews

Required fields are marked *. Your email address will not be published.