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SPEPS Preprint

Author(s): René Henrion, Weierstrass-Institute Berlin
Title: Structure and stability of probabilistic storage level constraints
Date of Acceptance: 02.11.2000
Submission Date: 16.10.2000
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Appeared in: Lecture notes in economics and mathematical systems : LNEMS ; operations research, computer science, social science (Vol. 513, 2002)
Springer (Berlin [u.a.])
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Abstract (eng):
We consider the structure of probabilistic storage level constraints as well as the stability of solutions to optimization problems involving such constraints. Apart from the general case, special structures with and without discretization are analyzed. Structures of the feasible set are characterized in terms of convexity and/or connectedness. Stability of solution sets with respect to perturbations of the probability measure is formulated by means of upper and lower semicontinuity of the associated multivalued mapping.
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