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2004-12-27Buch DOI: 10.18452/8329
On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example
dc.contributor.authorStrugarek, Cyrille
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:01:17Z
dc.date.available2017-06-16T20:01:17Z
dc.date.created2006-03-02
dc.date.issued2004-12-27
dc.date.submitted2004-05-19
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8981
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectstabilityeng
dc.subjectStochastic optimizationeng
dc.subjectFortet-Mourier metriceng
dc.subjectmeasurability constraintseng
dc.subjectinformation structureeng
dc.subject.ddc510 Mathematik
dc.titleOn the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059671
dc.identifier.doihttp://dx.doi.org/10.18452/8329
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages8
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2004
local.edoc.container-issue25
local.edoc.container-erstkatid2936317-2

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