The sample average approximation approach to solving stochastic programs induces a sampling error, caused by replacing an expectation by a sample average, as well as an optimization error due to approximating the solution of the resulting sample average problem. We obtain estimators of an optimal solution and the optimal value of the original stochastic program after executing a finite number o...

We provide a review of the principle of sample-average approximation (SAA) for solving simulationoptimization problems. Our goal is to provide an accessible overview of the area and emphasize interesting recent work. We explain when one might want to use SAA and when one might expect it to provide good-quality solutions. We also review some of the key theoretical properties of the solutions obt...