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Digitale Medien

On structure and stability in stochastic programs with random technology matrix and complete integer recourse (1995)

Schultz, Rüdiger

Springer

Mathematical programming 70 (1995), S. 73-89

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Details

ISSN: 1436-4646

Schlagwort(e): Stochastic integer programming ; Parametric integer programming ; Continuity ; Stability ; Weak convergence of probability measures

Quelle: Springer Online Journal Archives 1860-2000

Thema: Informatik , Mathematik

Notizen: Abstract For two-stage stochastic programs with integrality constraints in the second stage, we study continuity properties of the expected recourse as a function both of the first-stage policy and the integrating probability measure. Sufficient conditions for lower semicontinuity, continuity and Lipschitz continuity with respect to the first-stage policy are presented. Furthermore, joint continuity in the policy and the probability measure is established. This leads to conclusions on the stability of optimal values and optimal solutions to the two-stage stochastic program when subjecting the underlying probability measure to perturbations.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF01585929

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