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Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints

by Xu, Huifu , Meng, Fanwen

in Analysis / Approximation / Approximations / Arithmetic mean / Convergence / Convergence (Mathematics) / Implicit functions / Jacobians / Law of large numbers / Mathematical functions / Mathematical programming / Mathematical theorems / Matrices / random set-valued mappings / Random variables / sample average approximations / Sample size / stationary points / Stochastic models / Stochastic programming / strong law of large numbers / Studies

2007

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Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints

by Xu, Huifu , Meng, Fanwen

2007

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Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints

by Xu, Huifu , Meng, Fanwen

2007

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Journal Article

Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints

Xu, Huifu,

Meng, Fanwen

2007

Overview

In this paper we discuss the sample average approximation (SAA) method for a class of stochastic programs with nonsmooth equality constraints. We derive a uniform Strong Law of Large Numbers for random compact set-valued mappings and use it to investigate the convergence of Karush-Kuhn-Tucker points of SAA programs as the sample size increases. We also study the exponential convergence of global minimizers of the SAA problems to their counterparts of the true problem. The convergence analysis is extended to a smoothed SAA program. Finally, we apply the established results to a class of stochastic mathematical programs with complementarity constraints and report some preliminary numerical test results.

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Publisher

INFORMS,Institute for Operations Research and the Management Sciences

Subject

/ Convergence (Mathematics)

/ Implicit functions