Stability of multistage stochastic programs

Holger Heitsch, Werner Römisch and Cyrille Strugarek

august, 2005

Publication type:

Paper in peer-reviewed journals

Journal:

Stochastic Programming E-Print Series (SPEPS), vol. 2005-16

External link:

http://edoc.hu-berlin.de/series/speps/2005-16/PDF/16.pdf

HAL:

hal-00977507

Keywords :

stability, Stochastic programming, multistage, nonanticipativity, filtration, probability metrics

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.

BibTeX:

@article{Hei-Rom-Str-2005,
    author={Holger Heitsch and Werner Römisch and Cyrille Strugarek },
    title={Stability of multistage stochastic programs },
    journal={Stochastic Programming E-Print Series (SPEPS) },
    year={2005 },
    month={8},
    volume={2005-16 },
}