Stability in stochastic programming with recourse-estimated parameters |
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Authors: | J Dupa?ová |
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Affiliation: | (1) Charles University, Prague, Czechoslovakia |
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Abstract: | In this paper, stability of the optimal solution of stochastic programs with recourse with respect to parameters of the given
distribution of random coefficients is studied. Provided that the set of admissible solutions is defined by equality constraints
only, asymptotical normality of the optimal solution follows by standard methods. If nonnegativity constraints are taken into
account the problem is solved under assumption of strict complementarity known from the theory of nonlinear programming (Theorem
1). The general results are applied to the simple recourse problem with random right-hand sides under various assumptions
on the underlying distribution (Theorems 2–4). |
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Keywords: | Stochastic Programming Estimation Stability Asymptotical Normality Minimax Approach Deterministic Equivalent Simple Recourse Problem |
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