A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure

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A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure

This paper is concerned with solving single CVaR and mixed CVaR minimization problems. A CHKS-type smoothing sample average approximation (SAA) method is proposed for solving these two problems, which retains the convexity and smoothness of the original problem and is easy to implement. For any fixe...

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Bibliographic Details
Main Authors:	Meng, F., Sun, Jie, Goh, M.
Format:	Journal Article
Published:	Springer, Van Godewijckstraat 2011
Online Access:	http://hdl.handle.net/20.500.11937/39234

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