Sample Average Approximation of Risk-Averse Stochastic Programs
Sample average approximation (SAA) is a well-known solution methodology for traditional stochastic programs which are risk neutral in the sense that they consider optimization of expectation functionals. In this thesis we establish sample average approximation methods for two classes of non-traditio...
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Georgia Institute of Technology
2008
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| Online Access: | http://hdl.handle.net/1853/19784 |