Stability of Multistage Stochastic Programs

Holger Heitsch Werner Römisch Cyrille Strugarek 1
1 OC - Optimisation et commande
Abstract : Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an $L_{r}$‐distance and of a distance measure for the filtrations of the original and approximate stochastic (input) processes. Various issues of the result are discussed and an illustrative example is given. Consequences for the reduction of scenario trees are also discussed. Copyright © 2006 Society for Industrial and Applied Mathematics
Document type :
Journal articles
Complete list of metadatas
https://hal-ensta-paris.archives-ouvertes.fr//hal-00977507
Contributor : Aurélien Arnoux <>
Submitted on : Friday, April 11, 2014 - 11:28:57 AM
Last modification on : Wednesday, July 3, 2019 - 10:48:04 AM

Links full text

openaccess

Identifiers

Collections

ENSTA | UMA_ENSTA

Citation

Holger Heitsch, Werner Römisch, Cyrille Strugarek. Stability of Multistage Stochastic Programs. SIAM Journal on Optimization, Society for Industrial and Applied Mathematics, 2006, 17 (2), pp.511-525. ⟨10.1137/050632865⟩. ⟨hal-00977507⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Record views

150

Contact

Informations

CCSD