Article ID: | iaor1994742 |
Country: | United States |
Volume: | 18 |
Issue: | 3 |
Start Page Number: | 590 |
End Page Number: | 609 |
Publication Date: | Aug 1993 |
Journal: | Mathematics of Operations Research |
Authors: | Romisch Werner, Schultz Rdiger |
Keywords: | programming: multiple criteria |
Quantitative continuity of optimal solution sets to convex stochastic programs with (linear) complete recourse and random right-hand sides is investigated when the underlying probability measure varies in a metric space. The central result asserts that, under a strong-convexity condition for the expected recourse in the unperturbed problem, optimal tenders behave Hölder-continuous with respect to a Wasserstein metric. For linear stochastic programs this carries over to the Hausdorff distance of optimal solution sets. A general sufficient condition for the crucial strong-convexity asslmption is given and verified for recourse problems with separable and nonseparable objectives.