LANS Publications
"Convergence of Stochastic Average Approximation for Stochastic Optimization Problems with Mixed Expectation and Per-Scenario Constraints"
M. Anitescu and J. R. Birge
Preprint ANL/MCS-P1562-1108
Preprint Version: [pdf]
We present a framework for ensuring convergence of sample average approximations to stochastic optimization problems that include expectation constraints in addition to per-scenario constraints.