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