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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