Stability of \varepsilon-approximate Solutions to Convex Stochastic Programs

DOI10.1137/060657716MaRDI QIDQ3519415zbMATH OpenOpenAlexFDO

Authors Werner Römisch, Roger J.-B. Wets

Publication date 14 August 2008

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/060657716

zbMATH Keywords

approximate solutionsprobability metricsquantitative stabilityrandom recoursestochastic programmingtwo-stage models

Mathematics Subject Classification ID

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

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Cited in

(27)

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• Continuity and stability of two-stage stochastic programs with quadratic continuous recourse
• Hadamard directional differentiability of the optimal value of a linear second-order conic programming problem
• Constructing branching trees of geostatistical simulations
• Stability of solutions to chance constrained stochastic programs
• Consistency of learning algorithms using Attouch-Wets convergence
• Epi‐consistency of convex stochastic programs
• Risk objectives in two-stage stochastic programming models
• Scenario Reduction Techniques in Stochastic Programming
• A polynomial-time solution scheme for quadratic stochastic programs
• Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse
• Continuity and stability of fully random two-stage stochastic programs with mixed-integer recourse
• Quantitative stability of full random two-stage stochastic programs with recourse
• Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
• Graphical convergence of subgradients in nonconvex optimization and learning
• Analysis of Stochastic Approximation Schemes With Set-Valued Maps in the Absence of a Stability Guarantee and Their Stabilization
• Quantitative stability of full random two-stage problems with quadratic recourse
• Quantitative stability analysis of two-stage stochastic linear programs with full random recourse
• Variational theory for optimization under stochastic ambiguity
• Stability and continuity in robust optimization
• Data-driven priors in the maximum entropy on the mean method for linear inverse problems
• Rockafellian relaxation for PDE-constrained optimization with distributional ambiguity
• On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints. I: Theory

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