Browsing Preprints aus dem Institut für Mathematik by Subject "quantitative stability"

Now showing items 1-4 of 4

2005-10-21Buch

Metric regularity and quantitative stability in stochastic programs with probabilistic constraints

Henrion, René; Römisch, Werner

Necessary 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 ...
2005-11-02Buch

Polyhedral Risk Measures in Stochastic Programming

Eichhorn, Andreas; Römisch, Werner

Stochastic programs that do not only minimize expected cost but also take into account risk are of great interest in many application fields. We consider stochastic programs with risk measures in the objective and study ...
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 ...