Stability analysis for stochastic programs

Stability analysis for stochastic programs

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Article ID: iaor19912125
Country: Switzerland
Volume: 30
Start Page Number: 241
End Page Number: 266
Publication Date: Mar 1991
Journal: Annals of Operations Research
Authors: ,
Abstract:

For stochastic programs with recourse and with (several joint) probabilistic constraints, respectively, the authors derive quantitative continuity properties of the relevant expectation functionals and constraint set mappings. This leads to qualitative and quantitative stability results for optimal values and optimal solutions with respect to perturbations of the underlying probability distributions. Earlier stability results for stochastic programs with recourse and for those with probabilistic constraints are refined and extended, respectively. Emphasis is placed on equipping sets of probability measures with metrics that one can handle in specific situations. To illustrate the general stability results the authors present possible consequences when estimating the original probability measure via empirical ones.

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