First order asymptotics of the sample average approximation method to solve risk averse stochastic programs - Krätschmer, Volker (Mathematical programming, 2024)
Keywords: Approximation; Calculus of Variations and Optimal Control; Optimization; Combinatorics; Continuity (mathematics); Convexity; Full Length Paper; Integer programming; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematics; Mathematics and Statistics; Mathematics of Computing; Mixed integer; Numerical Analysis; Risk; Theoretical; Covering numbers; Risk averse stochastic program; Absolute semideviations; Sample average approximation; Divergence risk measures