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Digitale Medien

Distribution sensitivity in stochastic programming (1991)

Römisch, Werner ; Schultz, Rüdiger

Springer

Mathematical programming 50 (1991), S. 197-226

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Details

ISSN: 1436-4646

Schlagwort(e): 90C15 ; 90C31 ; Stochastic programming ; quantitative stability ; recourse problem ; chance constrained problem ; probability metric

Quelle: Springer Online Journal Archives 1860-2000

Thema: Informatik , Mathematik

Notizen: 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.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF01594935

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