On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example

Cyrille Strugarek

2004

Publication type:

Paper in peer-reviewed journals

Journal:

Stochastic Programming E-Print Series (SPEPS), vol. 2004-25

External link:

http://edoc.hu-berlin.de/series/speps/2004-25/PDF/25.pdf

HAL:

hal-00989010

Keywords :

Stability, stochastic optimization, Fortet-Mourier metric, measurability constraints, information structure

Abstract:

We consider the use of the Fortet-Mourier metric between two probability measures to bound the error term made by an approximated solution of a stochastic program. After a short analysis of usual stability arguments, we propose a simple example of stochastic program which enlightens the importance of the information structure. As a conclusion, we underline the need to take into account both the probability measure and the information structure in the discretization of a stochastic program.

BibTeX:

@article{Str-2004,
    author={Cyrille Strugarek },
    title={On the Fortet-Mourier metric for the stability of Stochastic 
           Optimization Problems, an example },
    journal={Stochastic Programming E-Print Series (SPEPS) },
    year={2004 },
    volume={2004-25 },
}