Hölder and Lipschitz stability of solution sets in programs with probabilistic constraints
type: Item
instance of: scholarly article
title: Hölder and Lipschitz stability of solution sets in programs with probabilistic constraints
zbMATH Open document ID: 1136.90423
author: Werner Römisch
author: René Henrion
published in: Mathematical Programming. Series A. Series B
publication date: 2004-10-28T00:00:00Z
review text: The authors improve earlier results and provide conditions implying Hölder continuity properties of the solution sets of a stochastic program with a probabilistic constraint and \(r\)-concave original probability distribution. Upper Lipschitz continuity property for solution sets under more restrictive conditions on the original program and on perturbed probability measures are also derived. The stability results are illustrated by numerical tests showing the different asymptotic behavior of parametric and nonparametric estimates in a program with a normal probabilistic constraint.
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C31
zbMATH DE Number: 2111487
zbMATH Keywords: stochastic optimization
zbMATH Keywords: Lipschitz stability
zbMATH Keywords: probabilistic constraints
reviewed by: Vincentiu Dumitru
MaRDI profile type: Publication
full work available at URL: s10107-004-0507-x
OpenAlex ID: W2010853279
DOI: 10.1007/S10107-004-0507-X
description: scientific article; zbMATH DE number 2111487