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SPEPS Preprint

Author(s): Jitka Dupacová, Charles University, Prague
Title: Output analysis for approximated stochastic programs
Date of Acceptance: 06.07.2000
Submission Date: 18.04.2000
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10057701)
ps (urn:nbn:de:kobv:11-10057712)
Keywords (eng): stability, robustness, Stochastic programming, approximated distributions, sensitivity
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Abstract (eng):
Because of incomplete information and also for the sake of numerical tractability one mostly solves an approximated stochastic program instead of the underlying ''true'' decision problem. However, without an additional analysis, the obtained output (the optimal value and optimal solutions of the approximated stochastic program) should not be used to replace the sought solution of the ''true'' problem. Methods of output analysis have to be tailored to the structure of the problem and they should also reflect the source, character and precision of the input data. The scope of various approaches based on results of asymptotic and robust statistics, of the moment problem and on general results of parametric programming will be discussed from the point of view of their applicability and possible extensions.
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Gesamtzahl der Zugriffe seit Sep 2011:

  • Startseite – 19 (0.61 pro Monat)
  • PDF – 134 (4.32 pro Monat)
 
 
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