Stability of multistage stochastic programs
august, 2005
Type de publication :
Article (revues avec comité de lecture)
Journal :
Stochastic Programming E-Print Series (SPEPS), vol. 2005-16
Lien externe :
HAL :
Mots clés :
stability, Stochastic programming, multistage, nonanticipativity, filtration, probability metrics
Résumé :
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 },
}