Stability results for stochastic programming problems

DOI10.1080/02331938808843343zbMath0649.90078OpenAlexW1988529207MaRDI QIDQ3795486

Silvia Vogel

Publication date: 1988

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://www.db-thueringen.de/servlets/MCRFileNodeServlet/dbt_derivate_00040546/ilm1-2018300029.pdf

zbMATH Keywords

chance constraintsmathematical expectationparametric estimateasymptotic behaviour of the optimal solution estimates

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (16)

Strong convexity in stochastic programs with complete recourse ⋮ A stochastic approach to stability in stochastic programming ⋮ A note on estimates in stochastic programming ⋮ Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems ⋮ Sample average approximation with heavier tails. I: Non-asymptotic bounds with weak assumptions and stochastic constraints ⋮ Unnamed Item ⋮ Distribution sensitivity in stochastic programming ⋮ Stability analysis for stochastic programs ⋮ On stability in multiobjective programming. A stochastic approach ⋮ Stability and sensitivity-analysis for stochastic programming ⋮ Estimating the Probability that a Function Observed with Noise Is Convex ⋮ Estimated stochastic programs with chance constraints ⋮ Unnamed Item ⋮ Distribution sensitivity for certain classes of chance-constrained models with application to power dispatch ⋮ Asymptotic behavior of solutions: an application to stochastic NLP ⋮ On rates of convergence for sample average approximations in the almost sure sense and in mean

Cites Work

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• Introduction to sensitivity and stability analysis in nonlinear programming
• Lipschitz properties of solutions in mathematical programming
• Stability in stochastic programming with recourse-estimated parameters
• Distribution sensitivity analysis for stochastic programs with complete recourse
• Stochastic programming with incomplete information:a surrey of results on postoptimization and sensitivity analysis
• Stability in Two-Stage Stochastic Programming
• Probability Inequalities for Sums of Bounded Random Variables

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