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. Citation Preprint ANL/MCS 1562-1108 Article Download View Convergence of stochastic average approximation for stochastic optimization problems with mixed expectation and per-scenario constraints