Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
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...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Springer Netherlands
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/37568 |