Asymptotics of the optimal value of SAA with AMIS on minimax stochastic programs

DOI10.11948/20240378MaRDI QIDQ6655247

Wen-Jin Zhang

Publication date: 20 December 2024

Published in: Journal of Applied Analysis and Computation (Search for Journal in Brave)

zbMATH Keywords

central limit theoremmartingale difference sequenceminimax stochastic programmingadaptive multiple importance sampling

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15)

Cites Work

• Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
• Lagrangian relaxation based heuristics for a chance-constrained optimization model of a hybrid solar-battery storage system
• Integrating geostatistical maps and infectious disease transmission models using adaptive multiple importance sampling
• Nonlinear chance-constrained problems with applications to hydro scheduling
• Martingale characterizations of risk-averse stochastic optimization problems
• Asymptotics of minimax stochastic programs
• Risk-Averse Optimization in Two-Stage Stochastic Models: Computational Aspects and a Study
• Adaptive Multiple Importance Sampling
• Lectures on Stochastic Programming
• A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling
• Dual Stochastic Dominance and Related Mean-Risk Models
• Optimal Methods for Convex Risk-Averse Distributed Optimization

This page was built for publication: Asymptotics of the optimal value of SAA with AMIS on minimax stochastic programs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6655247)