Stability of solutions to chance constrained stochastic programs
- Henrion, René
- Römisch, Werner
2010 Mathematics Subject Classification
- 90C15 90C31
- stochastic programming, chance constraints, r-concave measures, quantitative stability
Perturbations of convex chance constrained stochastic programs are considered the underlying probability distributions of which are r-concave. Verifiable sufficient conditions are established guaranteeing Hölder continuity properties of solution sets with respect to variations of the original distribution. Examples illustrate the potential, sharpness and limitations of the results.
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