Convergence of stochastic average approximation for stochastic optimization problems with mixed expectation and per-scenario constraints

  • Mihai Anitescu
  • Birge John
    • Categories Constrained Nonlinear Optimization, Stochastic Programming Tags , , Short URL: https://optimization-online.org/?p=10621

    We present a framework for ensuring convergence of sample average approximations to stochastic optimization problems that include expectation constraints in addition to per-scenario constraints.

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    Preprint ANL/MCS 1562-1108

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