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Extension of the SAA lower-bound proof to extended-real-valued objectives
Extension conjecture. The proof in Mak, Morton, and Wood (1999) that $\mathbb{E}[\hat{v}_N]$ is a lower bound for $v^*$ and is monotonically increasing in $N$ can be extended to th…
Conjectureopensample-average-approximation stochastic-programmingarXiv posted 2 days ago

Extension of the SAA lower-bound proof to extended-real-valued objectives