ISSN:
1572-9338
Keywords:
Multistage stochastic programs
;
optimization in Banach spaces
;
stability
;
approximation
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract Multistage stochastic programs are regarded as mathematical programs in a Banach spaceX of summable functions. Relying on a result for parametric programs in Banach spaces, the paper presents conditions under which linearly constrained convex multistage problems behave stably when the (input) data process is subjected to (small) perturbations. In particular, we show the persistence of optimal solutions, the local Lipschitz continuity of the optimal value and the upper semicontinuity of optimal sets with respect to the weak topology inX. The linear case with deterministic first-stage decisions is studied in more detail.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02031701
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