Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via Conditional Value at Risk and Difference of Convex Functions

Conditional Value at Risk (CVaR) has been recently used to approximate a chance constraint. In this paper, we study the convergence of stationary points, when sample average approximation (SAA) method is applied to a CVaR approximated joint chance constrained stochastic minimization problem. Specifi...

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Bibliographic Details
Published in:	Journal of optimization theory and applications Vol. 161; no. 1; pp. 257 - 284
Main Authors:	Sun, Hailin, Xu, Huifu, Wang, Yong
Format:	Journal Article
Language:	English
Published:	Boston Springer US 01.04.2014 Springer Nature B.V
Subjects:	Applications of Mathematics Approximation Asymptotic methods Asymptotic properties Calculus of Variations and Optimal Control; Optimization Convergence Convex analysis Deviation Engineering Expected values Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Operations Research/Decision Theory Optimization Random variables Stochastic models Stochasticity Studies Theory Theory of Computation Exponential convergence Joint chance constraints CVaR DC-approximation Almost H-calmness Stationary point
ISSN:	0022-3239, 1573-2878
Online Access:	Get full text
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