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arXiv · 2104.05114

Sample Average Approximations of Strongly Convex Stochastic Programs in Hilbert Spaces

Johannes Milz
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Abstract

We analyze the tail behavior of solutions to sample average approximations (SAAs) of stochastic programs posed in Hilbert spaces. We require that the integrand be strongly convex with the same convexity parameter for each realization. Combined with a standard condition from the literature on stochastic programming, we establish non-asymptotic exponential tail bounds for the distance between the SAA solutions and the stochastic program's solution, without assuming compactness of the feasible set. Our assumptions are verified on a class of infinite-dimensional optimization problems governed by affine-linear partial differential equations with random inputs. We present numerical results illustrating our theoretical findings.

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Johannes Milz. 2021-04-11. Sample Average Approximations of Strongly Convex Stochastic Programs in Hilbert Spaces. https://doi.org/10.1007/s11590-022-01888-4

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