Yong Wang

Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via CVaR/DC Approximations

  • Hailin Sun
  • Huifu Xu
  • Yong Wang
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , , , , ,

    Conditional Value at Risk (CVaR) has been recently used to approximate a chance constraint. In this paper, we study the convergence of stationary points when sample average approximation (SAA) method is applied to a CVaR approximated joint chance constrained stochastic minimization problem. Specifically, we prove, under some moderate conditions, that optimal solutions and stationary points … Read more

    Exact Penalization, Level Function Method and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints

  • Rudabeh Meskarian
  • Hailin Sun
  • Huifu Xu
  • Yong Wang
    • Categories Finance and Economics, Stochastic Programming Tags , , ,

    Level function methods and cutting plane methods have been recently proposed to solve stochastic programs with stochastic second order dominance (SSD) constraints. A level function method requires an exact penalization setup because it can only be applied to the objective function, not the constraints. Slater constraint qualification (SCQ) is often needed for deriving exact penalization. … Read more