Stability of Multistage 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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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2006
ISSN: 1052-6234,1095-7189
DOI: 10.1137/050632865