Sample average approximation of conditional value-at-risk based variational inequalities
From MaRDI portal
Publication:6191978
DOI10.1007/s11590-023-01996-9arXiv2208.11403OpenAlexW4362666384MaRDI QIDQ6191978
Publication date: 11 March 2024
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2208.11403
Cites Work
- Unnamed Item
- Stochastic optimization problems with CVaR risk measure and their sample average approximation
- Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
- Deviation inequalities for an estimator of the conditional value-at-risk
- Sample-path solution of stochastic variational inequalities
- Expected shortfall: heuristics and certificates
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- Concentration bounds for empirical conditional value-at-risk: the unbounded case
- Varying confidence levels for CVaR risk measures and minimax limits
- On Robust Solutions to Uncertain Linear Complementarity Problems and their Variants
- A Mean-Risk Model for the Traffic Assignment Problem with Stochastic Travel Times
- Convergence of Stationary Points of Sample Average Two-Stage Stochastic Programs: A Generalized Equation Approach
- Greedy Approximation
- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS
- Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Probability
This page was built for publication: Sample average approximation of conditional value-at-risk based variational inequalities
