Stability in two-stage stochastic programming. (English) Zbl 0639.90074

Robinson, Stephen M.; Wets, Roger J.-B.

SIAM J. Control Optimization 25, 1409-1416 (1987).

We analyze the effect of changes in problem functions and/or distributions in certain two-stage stochastic programming problems with recourse. Under reasonable assumptions the locally optimal value of the perturbed problem will be continuous and the corresponding set of local optimizers will be upper semicontinuous with respect to the parameters (including the probability distribution in the second stage).

MSC:

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

Keywords:

stability; sensitivity analysis; weak convergence; two-stage stochastic programming; recourse; locally optimal value