Some Aspects of Stability in Stochastic Programming |
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Authors: | Rüdiger Schultz |
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Affiliation: | (1) Department of Mathematics, Gerhard-Mercator University Duisburg, Lotharstr. 65, D-47048 Duisburg, Germany |
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Abstract: | Some developments in structure and stability of stochastic programs during the last decade together with interrelations to optimization theory and stochastics are reviewed. With weak convergence of probability measures as a backbone we discuss qualitative and quantitative stability of recourse models that possibly involve integer variables. We sketch stability in chance constrained stochastic programming and provide some applications in statistical estimation. Finally, an outlook is devoted to issues that were not discussed in detail and to some open problems. |
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Keywords: | stochastic programming parametric optimization stability analysis |
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