Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via Conditional Value at Risk and Difference of Convex Functions

Hailin Sun, Huifu Xu, Yong Wang. Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via Conditional Value at Risk and Difference of Convex Functions. J. Optimization Theory and Applications, 161(1):257-284, 2014. [doi]

Abstract

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