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 |
| _version_ | 1848755084960202752 |
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| author | Meng, F. Sun, Jie Goh, M. |
| author_facet | Meng, F. Sun, Jie Goh, M. |
| author_sort | Meng, F. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 (generalized Karush-Kuhn-Tucker) points produced by the SAA method is almost surely a weak stationary point of the original CVaR or mixed CVaR optimization problems. In addition, it is shown that, as the sample size increases, the difference of the optimal values between the SAA problems and the original problem tends to zero with probability approaching one exponentially fast. |
| first_indexed | 2025-11-14T08:50:41Z |
| format | Journal Article |
| id | curtin-20.500.11937-37568 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:50:41Z |
| publishDate | 2010 |
| publisher | Springer Netherlands |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-375682017-09-13T14:01:55Z Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation Meng, F. Sun, Jie Goh, M. 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 (generalized Karush-Kuhn-Tucker) points produced by the SAA method is almost surely a weak stationary point of the original CVaR or mixed CVaR optimization problems. In addition, it is shown that, as the sample size increases, the difference of the optimal values between the SAA problems and the original problem tends to zero with probability approaching one exponentially fast. 2010 Journal Article http://hdl.handle.net/20.500.11937/37568 10.1007/s10957-010-9676-3 Springer Netherlands restricted |
| spellingShingle | Meng, F. Sun, Jie Goh, M. Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation |
| title | Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation |
| title_full | Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation |
| title_fullStr | Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation |
| title_full_unstemmed | Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation |
| title_short | Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation |
| title_sort | stochastic optimization problems with cvar risk measure and their sample average approximation |
| url | http://hdl.handle.net/20.500.11937/37568 |