Conditioning of convex piecewise linear stochastic programs

DOI10.1007/s10107-002-0313-2zbMath1023.90044OpenAlexW2045152979MaRDI QIDQ1396811

Joocheol Kim, Alexander Shapiro, Tito Homem-de-mello

Publication date: 13 July 2003

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-002-0313-2

zbMATH Keywords

stochastic programmingMonte Carlo simulationill-conditioned problemslarge deviations theory

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Large deviations (60F10)

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