Stability of Multistage Stochastic Programs

Holger Heitsch, Werner Römisch and Cyrille Strugarek

2006

Publication type:

Paper in peer-reviewed journals

Journal:

SIAM Journal on Optimization, vol. 17(2), pp. 511-525

External link:

http://link.aip.org/link/?SJE/17/511/1

DOI:

10.1137/050632865

HAL:

hal-00977507

Keywords :

stochastic programming, multistage, nonanticipativity, stability

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 $L_{r}$‐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. Copyright © 2006 Society for Industrial and Applied Mathematics

BibTeX:

@article{Hei-Rom-Str-2006,
    author={Holger Heitsch and Werner Römisch and Cyrille Strugarek },
    title={Stability of Multistage Stochastic Programs },
    doi={10.1137/050632865 },
    journal={SIAM Journal on Optimization },
    year={2006 },
    volume={17(2) },
    pages={511--525},
}