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Quantitative Stability of Fully Random Mixed-Integer Two-Stage Stochastic Programs

Please always quote using this URN:urn:nbn:de:0296-matheon-3727
  • Mixed-integer two-stage stochastic programs with fixed recourse matrix, random recourse costs, technology matrix, and right-hand sides are considered. 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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Metadaten
Author:Werner Römisch, Stefan Vigerske
URN:urn:nbn:de:0296-matheon-3727
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2007/11/01
Release Date:2007/10/01
Tag:
Institute:Humboldt-Universität zu Berlin
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C31 Sensitivity, stability, parametric optimization
Preprint Number:367
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