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.
Author: | Werner Römisch, Stefan Vigerske |
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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 |