Sample average approximation with heavier tails I: non-asymptotic bounds with weak assumptions and stochastic constraints.
Roberto I. OliveiraPhilip ThompsonPublished in: Math. Program. (2023)
Keyphrases
- sample average approximation
- stochastic model
- optimality conditions
- lower and upper bounds
- upper bound
- stage stochastic programs
- chance constraints
- worst case
- constraint satisfaction
- lower bound
- finite sample
- rates of convergence
- asymptotically optimal
- linear constraints
- supervised learning
- probabilistic model
- evolutionary algorithm