2003 | OriginalPaper | Buchkapitel
A Note on Quantitative Stability and Empirical Estimates in Stochastic Programming
verfasst von : Vlasta Kaňková, Michal Houda
Erschienen in: Operations Research Proceedings 2002
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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The paper deals with a stability of stochastic programming problems considered with respect to a probability measure space. In particular, the paper deals with the stability of the problems in which the operator of mathematical expectation appears in the objective function, constraints set is “deterministic” and the probability measure space is equipped with the Kolmogorov or the Wasserstein metric. The stability results are furthermore employed to statistical estimates in the stochastic programming problems. Some results on a consistence and a rate of convergence are presented.