Stability of Solutions for Stochastic Programs with Complete Recourse

DOI10.1287/MOOR.18.3.590MaRDI QIDQ3140536zbMATH OpenOpenAlexFDO

Authors Werner Römisch, Rüdiger Schultz

Publication date 28 November 1993

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.18.3.590

zbMATH Keywords

complete recourseconvex stochastic programsquantitative continuity of optimal solution sets

Mathematics Subject Classification ID

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

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Cited in

(27)

• Stability analysis for stochastic programs
• On stability in multiobjective programming. A stochastic approach
• A simulation-based approach to two-stage stochastic programming with recourse
• Quantitative stability in stochastic programming
• Large-scale unit commitment under uncertainty: an updated literature survey
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Applying the minimax criterion in stochastic recourse programs
• Strong convexity in stochastic programs with complete recourse
• A stochastic approach to stability in stochastic programming
• Stability in multistage stochastic programming
• Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
• Online stochastic optimization under time constraints
• Strong convexity in risk-averse stochastic programs with complete recourse
• Improving constants of strong convexity in linear stochastic programming
• Weak continuity of risk functionals with applications to stochastic programming
• A remark on multiobjective stochastic optimization via strongly convex functions
• scientific article; zbMATH DE number 4162662 (Why is no real title available?)
• Empirical estimates in stochastic optimization via distribution tails
• Multistage stochastic programs via autoregressive sequences and individual probability constraints
• Stability in stochastic programming with recourse. Contaminated distributions
• Rates of Convergence in Stochastic Programs with Complete Integer Recourse
• Lipschitz Stability for Stochastic Programs with Complete Recourse
• Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
• scientific article; zbMATH DE number 6026918 (Why is no real title available?)
• On continuous convergence and epi-convergence of random functions. II: Sufficient conditions and applications.
• On approximation in multistage stochastic programs: Markov dependence
• Derivative-free approaches for chance-constrained problems with right-hand side uncertainty

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