Stability in Two-Stage Stochastic Programming

descriptionPublicationkeyboard_double_arrow_right Article 01 Nov 1987 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Control and Optimization, volume 25, pages 1,409-1,416 (issn: 0363-0129, eissn: 1095-7138,

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

doi: 10.1137/0325077

Stability in Two-Stage Stochastic Programming

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Abstract

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).

Related Organizations

University of California, Davis
United States
University of Wisconsin–Madison
United States

Keywords

sensitivity analysis, Sensitivity, stability, parametric optimization, Stochastic programming, recourse, weak convergence, stability, two-stage stochastic programming, locally optimal value

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