an:00440318
Zbl 0797.90070
R??misch, Werner; Schultz, R??diger
Stability of solutions for stochastic programs with complete recourse
EN
Math. Oper. Res. 18, No. 3, 590-609 (1993).
00015481
1993
j
90C15 90C31
quantitative continuity of optimal solution sets; convex stochastic programs; complete recourse
Quantitative continuity of optimal solution sets to convex stochastic programs with (linear) complete recourse and random right-hand sides is investigated when the underlying probability measure various in a metric space. The central result asserts that, under a strong convexity condition for the expected recourse in the unperturbed problem, optimal tenders behave H??lder-continuous with respect to a Wasserstein metric. For linear stochastic programs this carries over to the Hausdorff distance of optimal solution sets. A general sufficient condition for the crucial strong-convexity assumption is given and verified for recourse problems with separable and nonseparable objectives.
K.-J.Chung (Taipei)