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
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
收藏
页码:515 / 519
页数:5
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