ISSN:
1436-4646
Keywords:
90C15
;
90C31
;
Stochastic programming
;
quantitative stability
;
recourse problem
;
chance constrained problem
;
probability metric
Source:
Springer Online Journal Archives 1860-2000
Topics:
Computer Science
,
Mathematics
Notes:
Abstract In this paper, stochastic programming problems are viewed as parametric programs with respect to the probability distributions of the random coefficients. General results on quantitative stability in parametric optimization are used to study distribution sensitivity of stochastic programs. For recourse and chance constrained models quantitative continuity results for optimal values and optimal solution sets are proved (with respect to suitable metrics on the space of probability distributions). The results are useful to study the effect of approximations and of incomplete information in stochastic programming.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01594935
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