Re: Sample average approximation (SAA)


as said at


The SAA problem is a function of the considered sample and in that sense is random. For a given sample ξ 1 , ξ 2 , … , ξ N {displaystyle xi ^{1},xi ^{2},dots ,xi ^{N}} xi ^{1},xi ^{2},dots ,xi ^{N} the SAA problem is of the same form as a two-stage stochastic linear programming problem with the scenarios ξ j {displaystyle xi ^{j}} xi ^{j}., j = 1 , … , N {displaystyle j=1,dots ,N} j=1,dots ,N, each taken with the same probability p j = 1 N {displaystyle p_{j}={frac {1}{N}}} p_{j}={frac {1}{N}}.

So your approach looks good.

Tiny example of stochastic optimization at



Source: Re: Sample average approximation (SAA)