Probability metrics and the stability of stochastic programs with recourse

In stochastic optimization models the underlying probability measure must be very often replaced by its approximations. This leads to the investigation of the stability of such models with respect to changes in the probability measure. In this context, special attention is paid to recourse problems and the Wasserstein and Kolmogorov metrics.

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Year of publication:	2002
Authors:	Houda, Michal
Published in:	Bulletin of the Czech Econometric Society. - Česká ekonometrická společnost - CES. - Vol. 9.2002
Publisher:	Česká ekonometrická společnost - CES
Subject:	Stochastic programs with recourse \| stability \| Wasserstein metrics \| Kolmogorov metrics

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Extent:	text/html
Type of publication:	Article
Classification:	C44 - Statistical Decision Theory; Operations Research
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008540601