2004-12-27Buch DOI: 10.18452/8329
On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example
We consider the use of the Fortet-Mourier metric between two probability measures to bound the error term made by an approximated solution of a stochastic program. After a short analysis of usual stability arguments, we propose a simple example of stochastic program which enlightens the importance of the information structure. As a conclusion, we underline the need to take into account both the probability measure and the information structure in the discretization of a stochastic program.
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Is Part Of Series: Stochastic Programming E-Print Series - 25, SPEPS