| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1137/120863277 |
| Sample average approximation method for compound stochastic optimization problems. | |
| Ermoliev YM; Norkin V | |
| 发表日期 | 2013 |
| 出处 | SIAM Journal on Optimization 23 (4): 2231-2263 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The paper studies stochastic optimization (programming) problems with compound functions containing expectations and extreme values of other random functions as arguments. Compound functions arise in various applications. A typical example is a variance function of nonlinear outcomes. Other examples include stochastic minimax problems, econometric models with latent variables, and multilevel and multicriteria stochastic optimization problems. As a solution technique a sample average approximation (SAA) method (also known as statistical or empirical (sample) mean method) is used. The method consists in approximation of all expectation functions by their empirical means and solving the resulting approximate deterministic optimization problems. In stochastic optimization, this method is widely used for optimization of standard expectation functions under constraints. In this paper, SAA method is extended to general compound stochastic optimization problems. The conditions for convergence in mean, almost surely, and rate of convergence are established. The study of the convergence rate is based on properties of Rademacher averages of functional sets, concentration inequalities for bounded random functions, and the concept of uniform normalized convergence of random variables. The convergence results are applicable both for discrete and continuous stochastic optimization problems. |
| 主题 | Advanced Systems Analysis (ASA) |
| 关键词 | Stochastic optimization Compound functions Sample average approximation Normalized convergence Uniform normalized convergence Uniform law of large numbers Concentration inequalities Rademacher averages Rate of convergence |
| URL | http://pure.iiasa.ac.at/id/eprint/10298/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/129657 |
| 推荐引用方式 GB/T 7714 | Ermoliev YM,Norkin V. Sample average approximation method for compound stochastic optimization problems.. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Ermoliev YM]的文章 |
| [Norkin V]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Ermoliev YM]的文章 |
| [Norkin V]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Ermoliev YM]的文章 |
| [Norkin V]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
