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2003-03-06Buch DOI: 10.18452/8286
Hölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints
dc.contributor.authorHenrion, René
dc.contributor.authorRömisch, Werner
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:51:19Z
dc.date.available2017-06-16T19:51:19Z
dc.date.created2006-02-22
dc.date.issued2003-03-06
dc.date.submitted2003-12-13
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8938
dc.description.abstractWe study perturbations of a stochastic program with a probabilistic constraint and $r$-concave original probability distribution. First we improve our earlier results substantially and provide conditions implying Hölder continuity properties of the solution sets w.r.t. the Kolmogorov distance of probability distributions. Secondly, we derive an upper Lipschitz continuity property for solution sets under more restrictive conditions on the original program and on the perturbed probability measures. The latter analysis applies to linear-quadratic models an is based on work by Bonnans and Shapiro. The stability results are illustrated by numerical tests showing the different asymptotic behaviour of parametric and nonparametric estimates in a program with a normal probabilistic constraint.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectprobabilistic constraintseng
dc.subjectchance constraintseng
dc.subjectstochastic optimizationeng
dc.subjectLipschitz stabilityeng
dc.subject.ddc510 Mathematik
dc.titleHölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8938-3
dc.identifier.doihttp://dx.doi.org/10.18452/8286
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameSpringer
local.edoc.container-publisher-placeBerlin [u.a.]
local.edoc.container-volume2003
local.edoc.container-issue4
local.edoc.container-year2004
local.edoc.container-erstkatid2936317-2

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