Robust Sensitivity Analysis for Stochastic Systems
نویسندگان
چکیده
منابع مشابه
Robust Sensitivity Analysis for Stochastic Systems
We study a worst-case approach to measure the sensitivity to model misspecification in the performance analysis of stochastic systems. The situation of interest is when only minimal parametric information is available on the form of the true model. Under this setting, we post optimization programs that compute the worst-case performance measures, subject to constraints on the amount of model mi...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2016
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2015.0776