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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.