Sample average approximation of expected value constrained stochastic programs |
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| Authors: | Wei Wang |
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| Institution: | H. Milton Stewart School of Industrial & Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332, USA |
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| Abstract: | 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. |
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| Keywords: | Sample average approximation Expected value constrained stochastic program Conditional value-at-risk Portfolio optimization |
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