Robust Sample Average Approximation

Understand

Sample average approximation (SAA) is a widely popular approach to data-driven decision-making under uncertainty.

• Under mild assumptions, SAA is both tractable and enjoys strong asymptotic performance guarantees.
• Similar guarantees, however, do not typically hold in finite samples.
• In this paper, we propose a modification of SAA, which we term Robust SAA, which retains SAA's tractability and asymptotic properties and, additionally, enjoys strong finite-sample performance guarantees.