Stability analysis for stochastic programs
نویسندگان
چکیده
منابع مشابه
Stability of Multistage Stochastic Programs
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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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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Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identiied implying that these mappings are directionally diierentiable and semidiierentiable on appropriate functional spaces. Explicit formulas for the derivatives are derived...
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Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identiied implying that these mappings are directionally diierentiable and semidiieren-tiable on appropriate functional spaces. Explicit formulas for the derivatives are derive...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 1991
ISSN: 0254-5330,1572-9338
DOI: 10.1007/bf02204819