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In this article we discuss the application of a certain class of Monte Carlo methods to stochastic optimization problems. Particularly, we study variable-sample techniques, in which the objective function is replaced, at each iteration, by a sample average approximation. We first provide general results on the schedule of sample sizes, under which variable-sample methods yield consistent estimators as well as bounds on the estimation error. Because the convergence analysis is performeddoi:10.1145/858481.858483 fatcat:injtu5lbszhijkslxomugka4jm