Quantitative stability of fully random mixed-integer two-stage stochastic programs

Werner Römisch; Stefan Vigerske

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SPEPS Preprint

Author(s):	Werner Römisch, Humboldt-University Stefan Vigerske, Humboldt-University
Title:	Quantitative stability of fully random mixed-integer two-stage stochastic programs
Date of Acceptance:	07.12.2007
Submission Date:	08.01.2007
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10082280)
Keywords (eng):	stability, weak convergence, stochastic programming, two-stage, probability metric, mixed integer, discrepancy
Submitted in:	Optimization Letters
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Abstract (eng):

Mixed-integer two-stage stochastic programs with ﬁxed recourse matrix, random recourse costs, technology matrix, and right-hand sides are considered. Quantitative continuity properties of its optimal value and solution set are derived when the underlying probability distribution is perturbed with respect to an appropriate probability metric.

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