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Multistage stochastic programs via autoregressive sequences and individual probability constraints. (English) Zbl 1154.90557
Summary: The paper deals with a special case of multistage stochastic programming problems. In particular, the paper deals with multistage stochastic programs in which a random element follows an autoregressive sequence and constraint sets correspond to the individual probability constraints. The aim is to investigate a stability (considered with respect to a probability measures space) and empirical estimates. To achieve new results the Wasserstein metric determined by \({\mathcal L}_1\) norm and results of multiobjective optimization theory are employed.

MSC:
90C15 Stochastic programming
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References:
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