Home

About

Advanced Search

Browse by Discipline

Scientific Societies

E-print Alerts

Add E-prints

E-print Network
FAQHELPSITE MAPCONTACT US


  Advanced Search  

 
Sample Average Approximation of Expected Value Constrained Stochastic Programs
 

Summary: Sample Average Approximation of Expected
Value Constrained Stochastic Programs
Wei Wang and Shabbir Ahmed 1
H. Milton Stewart School of Industrial and Systems Engineering,
Georgia Institute of Technology, Atlanta, GA 30332, USA
Abstract
We propose a sample average approximation (SAA) method for stochastic program-
ming problems involving an expected value constraint. Such problems arise, for ex-
ample, in portfolio selection with constraints on conditional value-at-risk (CVaR).
Our contributions include an analysis of the convergence rate and a statistical valida-
tion scheme for the proposed SAA method. Computational results using a portfolio
selection problem with a CVaR constraint are presented.
Key words: Sample average approximation; Expected value constrained stochastic
program; Conditional value-at-risk; Convergence rate; Validation scheme; Portfolio
optimization
1 Introduction
We consider expected value constrained stochastic programs of the form
min
xX
{f(x) : E[G(x, )] q} (1)

  

Source: Ahmed, Shabbir - School of Industrial and Systems Engineering, Georgia Institute of Technology

 

Collections: Engineering