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Probability metrics and the stability of stochastic programs with recourse

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  • Michal Houda

Abstract

In stochastic optimization models the underlying probability measure must be very often replaced by its approximations. This leads to the investigation of the stability of such models with respect to changes in the probability measure. In this context, special attention is paid to recourse problems and the Wasserstein and Kolmogorov metrics.

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File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/116
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Bibliographic Info

Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

Volume (Year): 9 (2002)
Issue (Month): 17 ()
Pages:

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Handle: RePEc:czx:journl:v:9:y:2002:i:17:id:116

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Keywords: Stochastic programs with recourse; stability; Wasserstein metrics; Kolmogorov metrics;

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