On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example

Abstract : #HTML We consider the use of the Fortet-Mourier metric between two probability measures to bound the error term made by an approximated solution of a stochastic program. After a short analysis of usual stability arguments, we propose a simple example of stochastic program which enlightens the importance of the information structure. As a conclusion, we underline the need to take into account both the probability measure and the information structure in the discretization of a stochastic program.
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Submitted on : Friday, May 9, 2014 - 3:08:35 PM
Last modification on : Wednesday, July 3, 2019 - 10:48:04 AM

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Cyrille Strugarek. On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example. Stochastic Programming E-Print Series (SPEPS), 2004, 2004 (25). ⟨hal-00989010⟩

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