Birge John

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 , ,

    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. CitationPreprint ANL/MCS 1562-1108ArticleDownload View PDF