Sample Average Approximation for Stochastic Optimization with Dependent Data: Performance Guarantees and Tractability
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 online learning with time series data or distributed computing with Markovian …