Sample average approximation for stochastic optimization with dependent data: performance guarantees and tractability

Sample average approximation (SAA), a popular method for tractably solving stochastic optimization problems, enjoys strong asymptotic performance guarantees in settings with independent training samples. However, these guarantees are not known to hold generally with dependent samples, such as in onl...

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Bibliographic Details

Main Authors:	Yafei Wang, Bo Pan, Wei Tu, Peng Liu, Bei Jiang, Chao Gao, Wei Lu, Shangling Jui, Linglong Kong
Format:	Default Conference proceeding
Published:	2022
Subjects:	Sample average approximation (SAA) Stochastic optimization
Online Access:	https://hdl.handle.net/2134/27157302.v1
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