| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): | Cyrille Strugarek, EDF R&D, OSIRIS | Title: | On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example |
| Date of Acceptance: | 27.12.2004 |
| Submission Date: | 19.05.2004 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Complete Preprint: | pdf (urn:nbn:de:kobv:11-10059671) |
| Keywords (eng): | stability, Stochastic optimization, Fortet-Mourier metric, measurability constraints, information structure |
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| We consider the use of the Fortet-Mourier metric between two probability measures to bound the error term made by an approximated solution of a stochastic program. After a short analysis of usual stability arguments, we propose a simple example of stochastic program which enlightens the importance of the information structure. As a conclusion, we underline the need to take into account both the probability measure and the information structure in the discretization of a stochastic program. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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