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  • 1
    Electronic Resource
    Electronic Resource
    On differential stability in stochastic programming (1990)
    Springer
    Mathematical programming 47 (1990), S. 107-116 
    Details
    ISSN: 1436-4646
    Keywords: Stochastic programming ; sensitivity analysis ; directional derivatives ; von Mises statistical functionals ; asymptotic distribution
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Mathematics
    Notes: Abstract In this paper optimal solutions of a stochastic programming problem are considered as functions of the underlying probability distribution. Their directional derivatives, in the sense of Gâteaux, are calculated by applying some recent results from the sensitivity analysis of nonlinear programs. These derivatives are employed as a heuristic device in order to derive the asymptotic distribution of statistical estimators of the optimal solutions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01580855
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