Work

Asymptotics of the Optimal Value of Saa With Amis on Minimax Stochastic Programs

Year: 2025

Type: article

Abstract: The minimax stochastic programming problem is approximated in this paper using the sample average approximation with adaptive multiple importance sampling. We discuss the asymptotics and convergence of its optimal value. The core is the research and utilization of martingale difference sequences. The functional central limit theorem for martingale difference sequences is one of the main tools in studying the asymptotics. Finally, we apply this result to discuss a risk averse optimization problem.

Source: Journal of Applied Analysis & Computation

DOI: 10.11948/20240378

Author: Wenjin Zhang

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4411533625

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