Stability results for stochastic programming problems

Vogel, Silvia GND

The paper deals with a statistical approach to stability analysis in nonlinear stochastic programming. Firstly the distribution function of the underlying random variable is estimated by the empirical distribution function, and secondly the problem of estimated parameters is considered. In both cases the probability that the solution set of the approximate problem in not contained in an epsilon-neighborhood of the solution set to the original problem is estimated, and under differentiability properties an asymptotic expansion for the density of the (unique) solution to the approximate problem is derived.

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Vogel, Silvia: Stability results for stochastic programming problems. 2018.

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