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...

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Bibliographic Details
Main Authors: Meng, F., Sun, Jie, Goh, M.
Format: Journal Article
Published: Springer Netherlands 2010
Online Access:http://hdl.handle.net/20.500.11937/37568