|edoc-Server der Humboldt-Universität zu Berlin|
Werner Römisch, Humboldt-University|
Roger J.-B. Wets, University of California at Davis
|Title:||Stability of ε-approximate solutions to convex stochastic programs|
|Date of Acceptance:||21.06.2006|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10066273)|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|An analysis of convex stochastic programs is provided if the underlying proba- bility distribution is subjected to (small) perturbations. It is shown, in particular, that ε-approximate solution sets of convex stochastic programs behave Lipschitz continuous with respect to certain distances of probability distributions that are generated by the relevant integrands. It is shown that these results apply to linear two-stage stochastic programs with random recourse. Consequences are discussed on associating Fortet-Mourier metrics to two-stage models and on the asymptotic behavior of empirical estimates of such models, respectively.|
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