Quantitative Stability in Stochastic Programming: The Method of Probability Metrics

DOI10.1287/moor.27.4.792.304zbMath1082.90080OpenAlexW2153120611MaRDI QIDQ5704110

Werner Römisch, Svetlozar T. Rachev

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b9159a428b19383a563173f45a36db63b31c0b24

zbMATH Keywords

stochastic programmingmixed-integerprobability metricstwo-stage modelsempirical approximationsquantitative stabilityFortet-Mourier metricschance-constrained models, stable portfolio models

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Convergence of probability measures (60B10)

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