ISSN:
1436-4646
Keywords:
Stochastic programming with recourse
;
Quantitative stability
;
Lipschitz continuity
;
Law of Iterated Logarithm
;
Kolmogorov—Smirnov distance
Source:
Springer Online Journal Archives 1860-2000
Topics:
Computer Science
,
Mathematics
Notes:
Abstract In this paper we study stability of optimal solutions of stochastic programming problems with fixed recourse. An upper bound for the rate of convergence is given in terms of the objective functions of the associated deterministic problems. As an example it is shown how it can be applied to derivation of the Law of Iterated Logarithm for the optimal solutions. It is also shown that in the case of simple recourse this upper bound implies upper Lipschitz continuity of the optimal solutions with respect to the Kolmogorov—Smirnov distance between the corresponding cumulative probability distribution functions.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01582215
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