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2005-11-02Buch DOI: 10.18452/2559
Stability of multistage stochastic programs
dc.contributor.authorHeitsch, Holger
dc.contributor.authorRömisch, Werner
dc.contributor.authorStrugarek, Cyrille
dc.date.accessioned2017-06-15T17:33:07Z
dc.date.available2017-06-15T17:33:07Z
dc.date.created2005-11-02
dc.date.issued2005-11-02
dc.identifier.issn0863-0976
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3211
dc.description.abstractQuantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an Lr-distance and of a distance measure for the filtrations of the original and approximate. stochastic (input) processes. Various issues of the result are discussed and an illustrative example is given. Consequences for the reduction of scenario trees are also discussedeng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectstabilityeng
dc.subjectStochastic programmingeng
dc.subjectmultistageeng
dc.subjectnonanticipativityeng
dc.subjectfiltrationeng
dc.subjectprobability metricseng
dc.subject.ddc510 Mathematik
dc.titleStability of multistage stochastic programs
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10051798
dc.identifier.doihttp://dx.doi.org/10.18452/2559
local.edoc.container-titlePreprints aus dem Institut für Mathematik
local.edoc.pages15
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue7
local.edoc.container-year2005
local.edoc.container-erstkatid2075199-0

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