Some aspects of stability in stochastic programming

Some aspects of stability in stochastic programming

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Article ID: iaor2002470
Country: Netherlands
Volume: 100
Issue: 1
Start Page Number: 55
End Page Number: 84
Publication Date: Dec 2000
Journal: Annals of Operations Research
Authors:
Keywords: programming: parametric
Abstract:

Some developments in structure and stability of stochastic programs during the last decade together with interrelations to optimization theory and stochastics are reviewed. With weak convergence of probability measures as a backbone we discuss qualitative and quantitative stability of recourse models that possibly involve integer variables. We sketch stability in chance constrained stochastic programming and provide some applications in statistical estimation. Finally, an outlook is devoted to issues that were not discussed in detail and to some open problems.

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