Sample average approximation of expected value constrained stochastic programs
被引:95
作者:
Wang, Wei
论文数: 0引用数: 0
h-index: 0
机构:
Georgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USAGeorgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USA
Wang, Wei
[1
]
Ahmed, Shabbir
论文数: 0引用数: 0
h-index: 0
机构:
Georgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USAGeorgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USA
Ahmed, Shabbir
[1
]
机构:
[1] Georgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USA
Sample average approximation;
Expected value constrained stochastic program;
Conditional value-at-risk;
Portfolio optimization;
D O I:
10.1016/j.orl.2008.05.003
中图分类号:
C93 [管理学];
O22 [运筹学];
学科分类号:
070105 ;
12 ;
1201 ;
1202 ;
120202 ;
摘要:
We propose a sample average approximation (SAA) method for stochastic programming problems with expected value constraints. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). We provide a convergence analysis and a statistical validation scheme for the proposed method. (c) 2008 Elsevier B.V. All rights reserved.