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SPEPS Preprint

Author(s): 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
Submission Date: 18.04.2006
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10066273)
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Abstract (eng):
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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