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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| 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 |
