Quantitative stability of fully random mixed-integer two-stage stochastic programs |
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| Authors: | W. Römisch S. Vigerske |
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| Affiliation: | (1) Institute of Mathematics, Humboldt-University Berlin, 10099 Berlin, Germany |
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| Abstract: | Mixed-integer two-stage stochastic programs with fixed recourse matrix, random recourse costs, technology matrix, and right-hand sides are considered. Quantitative continuity properties of its optimal value and solution set are derived when the underlying probability distribution is perturbed with respect to an appropriate probability metric. |
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| Keywords: | Stochastic programming Two-stage Mixed-integer Stability Weak convergence Probability metric Discrepancy |
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