Quantitative stability of multistage stochastic programs via calm modifications

DOI10.1016/J.ORL.2018.08.007MaRDI QIDQ2294232zbMATH OpenOpenAlexWikidataFDO

Authors Jie Jiang, Zhiping Chen

Publication date 10 February 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2018.08.007

zbMATH Keywords

multistage stochastic programmingquantitative stabilitycalm modificationfiltration distance

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 2121076 (Why is no real title available?)
• A note on sample complexity of multistage stochastic programs
• Inference of statistical bounds for multistage stochastic programming problems
• Lectures on Stochastic Programming
• On Stability of Multistage Stochastic Programs
• Polyhedral Risk Measures in Stochastic Programming
• Some aspects of stability in stochastic programming
• Stability in multistage stochastic programming
• Stability of Multistage Stochastic Programs
• Stability of multistage stochastic programs incorporating polyhedral risk measures

Cited in

(3)

• Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
• On complexity of multistage stochastic programs under heavy tailed distributions
• Quantitative stability of the ERM formulation for a class of stochastic linear variational inequalities

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