Abstract
Min-max stochastic optimization is a kind of important problems in stochastic optimization, which has been widely applied in subjects such as inventory theory and robust optimization and engineering field. In this paper, we present sample average approximation(SAA) method for a class of min-max stochastic optimization problems, based on a nonlinear Lagrangian function. Convergence of the SAA estimators are analyzed by means of epi-convergence theory,when the Lagrange multiplier vector is optimal and the parameter is small enough.
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