2007-12-07Buch DOI: 10.18452/8383
Quantitative stability of fully random mixed-integer two-stage stochastic programs
Mixed-integer two-stage stochastic programs with ﬁxed recourse matrix, random recourse costs, technology matrix, and right-hand sides areconsidered. Quantitative continuity properties of its optimal value and solution set are derived when the underlying probability distribution is perturbed with respect to an appropriate probability metric.
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