On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example

Abstract : #HTML We consider the use of the Fortet-Mourier metric between two probability measures to bound the error term made by an approximated solution of a stochastic program. After a short analysis of usual stability arguments, we propose a simple example of stochastic program which enlightens the importance of the information structure. As a conclusion, we underline the need to take into account both the probability measure and the information structure in the discretization of a stochastic program.
Type de document :
Article dans une revue
Stochastic Programming E-Print Series (SPEPS), 2004, 2004 (25)
Liste complète des métadonnées

https://hal-ensta.archives-ouvertes.fr/hal-00989010
Contributeur : Aurélien Arnoux <>
Soumis le : vendredi 9 mai 2014 - 15:08:35
Dernière modification le : mercredi 6 décembre 2017 - 16:46:01

Identifiants

  • HAL Id : hal-00989010, version 1

Collections

Citation

Cyrille Strugarek. On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example. Stochastic Programming E-Print Series (SPEPS), 2004, 2004 (25). 〈hal-00989010〉

Partager

Métriques

Consultations de la notice

86