Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
Sign Up to like & getrecommendations! Published in 2021 at "Numerical Algorithms"
DOI: 10.1007/s11075-021-01110-z
Abstract: In this paper, we consider the sample average approximation (SAA) approach for a class of stochastic nonlinear complementarity problems (SNCPs) and study the corresponding convergence properties. We first investigate the convergence of the SAA counterparts… read more here.
Keywords: class stochastic; sample average; average approximation; stage ... See more keywords
An Implementable SAA Nonlinear Lagrange Algorithm for Constrained Minimax Stochastic Optimization Problems
Sign Up to like & getrecommendations! Published in 2018 at "Mathematical Problems in Engineering"
DOI: 10.1155/2018/5498760
Abstract: This paper proposes an implementable SAA (sample average approximation) nonlinear Lagrange algorithm for the constrained minimax stochastic optimization problem based on the sample average approximation method. A computable nonlinear Lagrange function with sample average approximation… read more here.
Keywords: implementable saa; lagrange algorithm; sample average; nonlinear lagrange ... See more keywords
Sample average approximation of conditional value-at-risk based variational inequalities
Sign Up to like & getrecommendations! Published in 2022 at "Optimization Letters"
DOI: 10.48550/arxiv.2208.11403
Abstract: This paper focuses on a class of variational inequalities (VIs), where the map defining the VI is given by the component-wise conditional value-at-risk (CVaR) of a random function. We focus on solving the VI using… read more here.
Keywords: sample average; conditional value; value risk; average approximation ... See more keywords