Stability of solutions for stochastic programs with complete recourse
作者： Werner Römisch , Rüdiger Schultz
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摘要: Quantitative continuity of optimal solution sets to convex stochastic programs with (linear) complete recourse and random right-hand sides is investigated when the underlying probability measure varies in a metric space. The central result asserts that, under strong-convexity condition for expected unperturbed problem, tenders behave Holder-continuous respect Wasserstein metric. For linear this carries over Hausdorff distance A general sufficient crucial assumption given verified problems separable nonseparable objectives.
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