Jitka Dupacova, Werner Römisch
Qantitative stability for scenario-based stochastic programs
Preprint series: Institut für Mathematik, Humboldt-Universität zu Berlin (ISSN 0863-0976)

MSC:

90C15 Stochastic programming

90C31 Sensitivity, stability, parametric optimization

60K30 Applications (congestion, allocation, storage, traffic, etc.), See also {90Bxx}

90C08 Special problems of linear programming (transportation, multi-index, etc.)

Abstract: General quantitative stability results for stochastic programs are formulated in terms of probability metrics, specified to scenario-based stochastic programs and applied to a bond portfolio managemant problem
Keywords: probability metrics, stochastic programs, stability wrt. probability measure, random recourse, discrete distributions, application