Stability and sensitivity-analysis for stochastic programming

Stability and sensitivity-analysis for stochastic programming

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Article ID: iaor19911775
Country: Switzerland
Volume: 27
Start Page Number: 115
End Page Number: 142
Publication Date: Oct 1990
Journal: Annals of Operations Research
Authors:
Abstract:

Stability and sensitivity studies for stochastic programs have been motivated by the problem of incomplete information about the true probability measure through which the stochastic program is formulated and in connection with the development and evaluation of algorithms. The first part of this survey paper briefly introduces and compares different approaches and points out the contemporary efforts to remove and weaken assumptions that are not realistic (e.g., strict complementarity conditions). The second part surveys recent results on qualitative and quantitative stability with respect to the underlying probability measure and describes the ways and means of statistical sensitivity analysis based on Gateaux derivatives. The last section comments on parallel ástatistical sensitivity analysis based on G

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