First order asymptotics of the sample average approximation method to solve risk averse stochastic programs

• 成果类型: Article
• 署名作者: Kraetschmer, Volker
• 署名单位: University of Duisburg Essen
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-023-02036-1
• 发表日期: 2024
• 页码: 209-242
• 关键词: weak continuity; functionals

摘要

We investigate statistical properties of the optimal value of the Sample Average Approximation of stochastic programs, continuing the study (Kratschmer in Nonasymptotic upper estimates for errors of the sample average approximation method to solve risk averse stochastic programs, 2023. Forthcoming in SIAM J. Optim.). Central Limit Theorem type results are derived for the optimal value. As a crucial point the investigations are based on a new type of conditions from the theory of empirical processes which do not rely on pathwise analytical properties of the goal functions. In particular, continuity or convexity in the parameter is not imposed in advance as usual in the literature on the Sample Average Approximation method. It is also shown that the new condition is satisfied if the paths of the goal functions are Holder continuous so that the main results carry over in this case. Moreover, the main results are applied to goal functions whose paths are piecewise Holder continuous as e.g. in two stage mixed-integer programs. The main results are shown for classical risk neutral stochastic programs, but we also demonstrate how to apply them to the Sample Average Approximation of risk averse stochastic programs. In this respect we consider stochastic programs expressed in terms of absolute semideviations and divergence risk measures.