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2006-12-14Buch DOI: 10.18452/8369
Stability of multistage stochastic programs incorporating polyhedral risk measures
dc.contributor.authorEichhorn, Andreas
dc.contributor.authorRömisch, Werner
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:11:17Z
dc.date.available2017-06-16T20:11:17Z
dc.date.created2007-01-03
dc.date.issued2006-12-14
dc.date.submitted2006-10-25
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9021
dc.description.abstractWe analyse stability aspects of linear multistage stochastic programs with polyhedral risk measures inthe objective. In particular, we consider sensitivity of the optimal value with respect perturbations ofthe underlying stochastic input process. An existing stability result for multistage stochastic programswith expectation objective is carried forward to the case of polyhedral risk-averse objectives. Beside$L_r$-distances these results also involve filtration distances of the perturbations of the stochasticprocess. We discuss additional requirements for the polyhedral risk measures such that the problemdependent filtration distances can be bounded by problem independent ones. Stability and suchbounds are the basis for scenario tree approximation techniques used in practical problem solving.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc510 Mathematik
dc.titleStability of multistage stochastic programs incorporating polyhedral risk measures
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10072263
dc.identifier.doihttp://dx.doi.org/10.18452/8369
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue20
local.edoc.container-erstkatid2936317-2

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