Journal
MATHEMATICS OF OPERATIONS RESEARCH
Volume 32, Issue 3, Pages 648-668Publisher
INFORMS
DOI: 10.1287/moor.1070.0260
Keywords
sample average approximations; strong law of large numbers; random set-valued mappings; stationary points
Funding
- Engineering and Physical Sciences Research Council [GR/S90850/01] Funding Source: researchfish
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In this paper we discuss the sample average approximation (SAA) method for a class of stochastic programs with nonsmooth equality constraints. We derive a uniform Strong Law of Large Numbers for random compact set-valued mappings and use it to investigate the convergence of Karush-Kuhn-Tucker points of SAA programs as the sample size increases. We also study the exponential convergence of global minimizers of the SAA problems to their counterparts of the true problem. The convergence analysis is extended to a smoothed SAA program. Finally, we apply the established results to a class of stochastic mathematical programs with complementarity constraints and report some preliminary numerical test results.
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