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  • 1
    Electronic Resource
    Electronic Resource
    On structure and stability in stochastic programs with random technology matrix and complete integer recourse (1995)
    Springer
    Mathematical programming 70 (1995), S. 73-89 
    Details
    ISSN: 1436-4646
    Keywords: Stochastic integer programming ; Parametric integer programming ; Continuity ; Stability ; Weak convergence of probability measures
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Mathematics
    Notes: Abstract For two-stage stochastic programs with integrality constraints in the second stage, we study continuity properties of the expected recourse as a function both of the first-stage policy and the integrating probability measure. Sufficient conditions for lower semicontinuity, continuity and Lipschitz continuity with respect to the first-stage policy are presented. Furthermore, joint continuity in the policy and the probability measure is established. This leads to conclusions on the stability of optimal values and optimal solutions to the two-stage stochastic program when subjecting the underlying probability measure to perturbations.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01585929
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Some Aspects of Stability in Stochastic Programming (2000)
    Springer
    Annals of operations research 100 (2000), S. 55-84 
    Details
    ISSN: 1572-9338
    Keywords: stochastic programming ; parametric optimization ; stability analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Some developments in structure and stability of stochastic programs during the last decade together with interrelations to optimization theory and stochastics are reviewed. With weak convergence of probability measures as a backbone we discuss qualitative and quantitative stability of recourse models that possibly involve integer variables. We sketch stability in chance constrained stochastic programming and provide some applications in statistical estimation. Finally, an outlook is devoted to issues that were not discussed in detail and to some open problems.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1019258932012
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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