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» Quantitative Stability in Stochastic Programming: The Method...

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MOR
2002

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Quantitative Stability in Stochastic Programming: The Method of Probability Metrics

13 years 4 months ago

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Svetlozar T. Rachev, Werner Römisch

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SIAMJO
2008

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On Stability of Multistage Stochastic Programs

13 years 5 months ago

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We study the quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave...

Christian Küchler

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ORL
2007

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A note on scenario reduction for two-stage stochastic programs

13 years 4 months ago

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We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The impo...

Holger Heitsch, Werner Römisch

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