2006-06-21Buch DOI: 10.18452/8359
Stability of ε-approximate solutions to convex stochastic programs
Wets, Roger J.-B.
An analysis of convex stochastic programs is provided if the underlying proba-bility distribution is subjected to (small) perturbations. It is shown, in particular,that ε-approximate solution sets of convex stochastic programs behave Lipschitzcontinuous with respect to certain distances of probability distributions that aregenerated by the relevant integrands. It is shown that these results apply tolinear two-stage stochastic programs with random recourse. Consequences arediscussed on associating Fortet-Mourier metrics to two-stage models and on theasymptotic behavior of empirical estimates of such models, respectively.
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