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2005-10-21Buch DOI: 10.18452/2532
Metric regularity and quantitative stability in stochastic programs with probabilistic constraints
dc.contributor.authorHenrion, René
dc.contributor.authorRömisch, Werner
dc.date.accessioned2017-06-15T17:27:53Z
dc.date.available2017-06-15T17:27:53Z
dc.date.created2005-10-21
dc.date.issued2005-10-21
dc.identifier.issn0863-0976
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3184
dc.description.abstractNecessary and sufficient conditions for metric regularity of (several joint) probabilistic constraints are derived using recent results from nonsmooth analysis. The conditions apply to fairly general nonconvex, nonsmooth probabilistic constraints and extend earlier work in this direction. Further, a verifiable sufficient condition for quadratic growth of the objective function in a more specific convex stochastic program is indicated and applied in order to obtain a new result on quantitative stability of solution sets when the underlying probability distribution is subjected to perturbations. This is used to establish a large deviation estimate for solution sets when the probability measure is replaced by empirical ones.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectstochastic programmingeng
dc.subjectprobabilistic constraintseng
dc.subjectmetric regularityeng
dc.subjectnonsmooth analysiseng
dc.subjectquadratic growtheng
dc.subjectquantitative stabilityeng
dc.subjectlarge deviationseng
dc.subject.ddc510 Mathematik
dc.titleMetric regularity and quantitative stability in stochastic programs with probabilistic constraints
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10050963
dc.identifier.doihttp://dx.doi.org/10.18452/2532
dc.subject.dnb27 Mathematik
local.edoc.container-titlePreprints aus dem Institut für Mathematik
local.edoc.pages33
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1996
local.edoc.container-issue2
local.edoc.container-year1996
local.edoc.container-erstkatid2075199-0

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