Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts

DOI10.3934/jimo.2020075zbMath1476.90220MaRDI QIDQ2666663

He Hu, Jie Jiang, Zhiping Chen

Publication date: 23 November 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2020075

zbMATH Keywords

LPM; multistage stochastic programming; distributionally robust; quantitative stability; risk-averse

Mathematics Subject Classification ID

90C15: Stochastic programming

91B70: Stochastic models in economics

93E15: Stochastic stability in control theory

Related Items

Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse

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