Stability of multistage stochastic programs

Holger Heitsch , Werner Römisch , Cyrille Strugarek

Preprint series: Institut für Mathematik, Humboldt-Universität zu Berlin (ISSN 0863-0976),

MSC 2000

90C15 Stochastic programming

Abstract
Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an Lr-distance and of a distance measure for the filtrations of the original and approximate stochastic (input) processes. Various issues of the result are discussed and an illustrative example is given. Consequences for the reduction of scenario trees are also discussed.