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Some Aspects of Stability in Stochastic Programming (2000)

Schultz, Rüdiger

Springer

Annals of operations research 100 (2000), S. 55-84

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ISSN: 1572-9338

Schlagwort(e): stochastic programming ; parametric optimization ; stability analysis

Quelle: Springer Online Journal Archives 1860-2000

Thema: Mathematik , Wirtschaftswissenschaften

Notizen: 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.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1023/A:1019258932012

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