Quantitative stability of multistage stochastic programs via calm modifications

DOI10.1016/j.orl.2018.08.007zbMath1476.90219OpenAlexW2893967087MaRDI QIDQ2294232

Jie Jiang, Zhiping Chen

Publication date: 10 February 2020

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2018.08.007

zbMATH Keywords

multistage stochastic programmingquantitative stabilitycalm modificationfiltration distance

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15)

Related Items (3)

On complexity of multistage stochastic programs under heavy tailed distributions ⋮ Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts ⋮ Quantitative stability of the ERM formulation for a class of stochastic linear variational inequalities

Cites Work

• Inference of statistical bounds for multistage stochastic programming problems
• A note on sample complexity of multistage stochastic programs
• Stability in multistage stochastic programming
• Stability of Multistage Stochastic Programs
• Stability of multistage stochastic programs incorporating polyhedral risk measures
• On Stability of Multistage Stochastic Programs
• Lectures on Stochastic Programming
• Polyhedral Risk Measures in Stochastic Programming
• Some aspects of stability in stochastic programming
• Unnamed Item

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