On Stability of Multistage Stochastic Programs
نویسندگان
چکیده
منابع مشابه
On Stability of Multistage Stochastic Programs
We study quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave Lipschitz continuous with respect to an Lp-distance. Therefor, we have to make a crucial regularity assumption on the conditional distributions, that allows to establish continuity of the recourse function with respect to...
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Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an Lr-distance and of a distance measure for the filtrations of the original and approximate stochastic (input) processes. Various issues of the result are discussed and an illustrative example is given. Consequ...
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It is well known that risk-averse multistage stochastic optimization problems are often not in the form of a dynamic stochastic program, i.e. are not dynamically decomposable. In this paper we demonstrate how some of these problems may be extended in such a way that they are accessible to dynamic algorithms. The key technique is a new recursive formulation for the Average Value-atRisk. To this ...
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In this paper we derive estimates of the sample sizes required to solve a multistage stochastic programming problem with a given accuracy by the (conditional sampling) sample average approximation method. The presented analysis is self contained and is based on a, relatively elementary, one dimensional Cramér’s Large Deviations Theorem.
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2008
ISSN: 1052-6234,1095-7189
DOI: 10.1137/070690365