2006-06-21Buch DOI: 10.18452/2984
Stability of ε-approximate solutions to convex stochastic programs
Wets, Roger J.-B.
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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