Stability of multistage stochastic programming |
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Authors: | Jinde Wang |
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Affiliation: | (1) Department of Mathematics, Nanjing University, P.R. China |
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Abstract: | In this paper, we study the stability of multistage stochastic programming with recourse in a way that is different from that used in studying stability of two-stage stochastic programs. Here, we transform the multistage programs into mathematical programs in the space
n
×L
p
with a simple objective function and multistage stochastic constraints. By investigating the continuity of the multistage multifunction defined by the multistage stochastic constraints and applying epi-convergence theory we obtain stability results for linear and linear-quadratic multistage stochastic programs.Project supported by the National Natural Science Foundation of China. |
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Keywords: | Stability multistage stochastic program multistage multifunction epi-convergence |
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