On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example
2004
Type de publication :
Article (revues avec comité de lecture)
Journal :
Stochastic Programming E-Print Series (SPEPS), vol. 2004-25
Lien externe :
HAL :
Mots clés :
Stability, stochastic optimization, Fortet-Mourier metric, measurability constraints, information structure
Résumé :
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 },
}