Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation

F. W. Meng (), J. Sun () and M. Goh ()
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F. W. Meng: National University of Singapore
J. Sun: National University of Singapore
M. Goh: National University of Singapore

Journal of Optimization Theory and Applications, 2010, vol. 146, issue 2, No 10, 399-418

Abstract: Abstract We provide a refined convergence analysis for the SAA (sample average approximation) method applied to stochastic optimization problems with either single or mixed CVaR (conditional value-at-risk) measures. Under certain regularity conditions, it is shown that any accumulation point of the weak GKKT (generalized Karush-Kuhn-Tucker) points produced by the SAA method is almost surely a weak stationary point of the original CVaR or mixed CVaR optimization problems. In addition, it is shown that, as the sample size increases, the difference of the optimal values between the SAA problems and the original problem tends to zero with probability approaching one exponentially fast.

Keywords: Conditional value-at-risk; Sample average approximation; Stochastic optimization; Variational analysis (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10957-010-9676-3

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