Sample average approximation of expected value constrained stochastic programs

被引：95

作者：

Wang, Wei ^{[1
]}

Ahmed, Shabbir ^{[1
]}

机构：

[1] Georgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USA

来源：

OPERATIONS RESEARCH LETTERS | 2008年 / 36卷 / 05期

基金：

美国国家科学基金会;

关键词：

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.

引用

页码：515 / 519

页数：5

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