Metric regularity and quantitative stability in stochastic programs with probabilistic constraints.

DOI10.1007/S10107980016AMaRDI QIDQ1572671zbMATH OpenOpenAlexFDO

Authors René Henrion, Werner Römisch

Publication date 21 July 2000

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL http://edoc.hu-berlin.de/18452/3184

zbMATH Keywords

metric regularitynonsmooth analysisstochastic programmingquadratic growthprobabilistic constraintsquantitative stabilityempirical approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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• Stability analysis of stochastic programs with second order dominance constraints
• Chance-constrained problems and rare events: an importance sampling approach
• Convergence analysis for mathematical programs with distributionally robust chance constraint
• A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
• A probabilistically constrained model predictive controller
• Scenario reduction in stochastic programming with respect to discrepancy distances
• Quantitative stability of full random two-stage problems with quadratic recourse
• An integer programming approach for linear programs with probabilistic constraints
• On the coderivative of the solution mapping to a second-order cone constrained parametric variational inequality
• Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
• Generalized gradients for probabilistic/robust (probust) constraints
• Optimality conditions in optimization problems with convex feasible set using convexificators
• Empirical estimates in stochastic optimization via distribution tails
• Scenario approximation of robust and chance-constrained programs
• Calmness of constraint systems with applications
• A linear programming approach for linear programs with probabilistic constraints
• Lipschitzian properties and stability of a class of first-order stochastic dominance constraints

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