Browsing Preprints aus dem Institut für Mathematik by Subject "Fortet-Mourier metrics"

Now showing items 1-2 of 2

2005-11-07Buch

Quantitative stability in stochastic programming: The method of probability metrics

Rachev, Svetlozar T.; Römisch, Werner

Quantitative stability of optimal values and solution sets to stochastic programming problems is studied when the underlying probability distribution varies in some metric space of probability measures. We give conditions ...
2005-11-07Buch

Scenario Reduction in Stochastic Programming

Dupacová, Jitka; Gröwe-Kuska, Nicole; Römisch, Werner

Given a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...