Sample Average Approximation Method for Compound Stochastic Optimization Problems

DOI10.1137/120863277zbMath1295.90025OpenAlexW2038725517WikidataQ105584144 ScholiaQ105584144MaRDI QIDQ5408218

Yury M. Ermoliev, Vladimir I. Norkin

Publication date: 9 April 2014

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/713bf7f4d2033afbedc647b558e6c59d1e200e0a

zbMATH Keywords

rate of convergencestochastic optimizationsample average approximationRademacher averagesnormalized convergencecompound functions

Mathematics Subject Classification ID

Computational learning theory (68Q32) Nonlinear programming (90C30) Stochastic programming (90C15) Convergence of probability measures (60B10)

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