Stability of multistage stochastic programs
dc.contributor.author | Heitsch, Holger | |
dc.contributor.author | Römisch, Werner | |
dc.contributor.author | Strugarek, Cyrille | |
dc.date.accessioned | 2017-06-15T17:33:07Z | |
dc.date.available | 2017-06-15T17:33:07Z | |
dc.date.created | 2005-11-02 | |
dc.date.issued | 2005-11-02 | |
dc.identifier.issn | 0863-0976 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/3211 | |
dc.description.abstract | Quantitative 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 discussed | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | stability | eng |
dc.subject | Stochastic programming | eng |
dc.subject | multistage | eng |
dc.subject | nonanticipativity | eng |
dc.subject | filtration | eng |
dc.subject | probability metrics | eng |
dc.subject.ddc | 510 Mathematik | |
dc.title | Stability of multistage stochastic programs | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10051798 | |
dc.identifier.doi | http://dx.doi.org/10.18452/2559 | |
local.edoc.pages | 15 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2005 | |
dc.identifier.zdb | 2075199-0 | |
bua.series.name | Preprints aus dem Institut für Mathematik | |
bua.series.issuenumber | 2005,7 |