Quantitative stability of multistage stochastic programs via calm modifications

DOI10.1016/J.ORL.2018.08.007zbMATH Open1476.90219OpenAlexW2893967087WikidataQ129246759 ScholiaQ129246759MaRDI QIDQ2294232FDOQ2294232

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

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zbMATH Keywords

multistage stochastic programmingquantitative stabilitycalm modificationfiltration distance

Mathematics Subject Classification ID

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

Cites Work

• Stability of Multistage Stochastic Programs
• Title not available (Why is that?)
• Lectures on Stochastic Programming
• Polyhedral Risk Measures in Stochastic Programming
• Inference of statistical bounds for multistage stochastic programming problems
• A note on sample complexity of multistage stochastic programs
• Some aspects of stability in stochastic programming
• On Stability of Multistage Stochastic Programs
• Stability of multistage stochastic programs incorporating polyhedral risk measures
• Stability in multistage stochastic programming

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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