In this paper we discuss sample complexity of solving stationary stochastic programs by the Sample Average Approximation (SAA) method. We investigate this in the framework of Optimal Control (in discrete time) setting. In particular we derive a Central Limit Theorem type asymptotics for the optimal values of the SAA problems. The main conclusion is that … Read more
We study statistical properties of the optimal value and optimal solutions of the Sample Average Approximation of risk averse stochastic problems. Central Limit Theorem type results are derived for the optimal value when the stochastic program is expressed in terms of a law invariant coherent risk measure having a discrete Kusuoka representation. The obtained results … Read more
We study statistical properties of the optimal value and optimal solutions of the Sample Average Approximation of risk averse stochastic problems. Central Limit Theorem type results are derived for the optimal value and optimal solutions when the stochastic program is expressed in terms of a law invariant coherent risk measure. The obtained results are applied … Read more