SUN, HAILIN; XU, HUIFU; WANG, YONG - In: Asia-Pacific Journal of Operational Research (APJOR) 30 (2013) 03, pp. 1340002-1
In this paper, we propose a smoothing penalized sample average approximation (SAA) method for solving a stochastic minimization problem with second-order dominance constraints. The basic idea is to use sample average to approximate the expected values of the underlying random functions and then...