A Note on Quantitative Stability and Empirical Estimates in Stochastic Programming

Vlasta Kaňková,Michal Houda

doi:10.1007/978-3-642-55537-4_67

A Note on Quantitative Stability and Empirical Estimates in Stochastic Programming

Vlasta Kaňková, Michal Houda

https://doi.org/10.1007/978-3-642-55537-4_67

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Publication Date: Jan 1, 2003

Citations: 3

Affiliation: Czech Academy of Sciences, Institute of Information Theory and Automation, Charles University

#Stochastic Programming Problems #Probability Measure Space + Show 8 more

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Abstract

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.

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