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A note on quantitative stability and empirical estimates in stochastic programming. (English) Zbl 1162.90528
Leopold-Wildburger, Ulrike (ed.) et al., Operations research proceedings 2002. Selected papers of the international conference on operations research (SOR 2002), Klagenfurt, September 2–5, 2002. Berlin: Springer (ISBN 978-3-540-00387-8/pbk). 413-418 (2003).
Summary: The paper deals with a stability of stochastic programming problems considered with respect to a probability measure space. In particular, the paper deals with the stability of the problems in which the operator of mathematical expectation appears in the objective function, constraints set is “deterministic” and the probability measure space is equipped with the Kolmogorov or the Wasserstein metric. The stability results are furthermore employed to statistical estimates in the stochastic programming problems. Some results on a consistence and a rate of convergence are presented.
For the entire collection see [Zbl 1170.90303].

MSC:
90C15 Stochastic programming
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