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|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|
Stochastic Programming E-Print Series |
|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|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
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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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