A one stage stochastic constrained optimization problem is an important model in stochastic programming, which has many applications in management science, financial engineering, computer science and other fields. In this paper, a sample average approximation method is proposed to solve such problem and convergence rate for stochastic constrained optimization with multiple constraints is demonstrated, which extends the existing convergence rate result.

one stage stochastic constrained optimization problem, sample average approximation (SAA), convergence rate.