Distribution sensitivity in stochastic programming

Distribution sensitivity in stochastic programming

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Article ID: iaor1993378
Country: Netherlands
Volume: 50
Issue: 2
Start Page Number: 197
End Page Number: 226
Publication Date: Apr 1991
Journal: Mathematical Programming (Series A)
Authors: ,
Abstract:

In this paper, stochastic programming problems are viewed as parametric programs with respect to the probability distributions of the random coefficients. General results on quantitative stability in parametric optimization are used to study distribution sensitivity of stochastic programs. For recourse and chance constrained models quantitative continuity results for optimal values and optimal solution sets are proved (with respect to suitable metrics on the space of probability distributions). The results are useful to study the effect of approximations and of incomplete information in stochastic programming.

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