ISSN:
1572-9338
Keywords:
Stochastic programs with recourse
;
stochastic programs with probabilistic constraints
;
distribution sensitivity
;
probability metrics
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract For stochastic programs with recourse and with (several joint) probabilistic constraints, respectively, we derive quantitative continuity properties of the relevant expectation functionals and constraint set mappings. This leads to qualitative and quantitative stability results for optimal values and optimal solutions with respect to perturbations of the underlying probability distributions. Earlier stability results for stochastic programs with recourse and for those with probabilistic constraints are refined and extended, respectively. Emphasis is placed on equipping sets of probability measures with metrics that one can handle in specific situations. To illustrate the general stability results we present possible consequences when estimating the original probability measure via empirical ones.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02204819
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