Rates of convergence in stochastic programs with complete integer recourse

作     者：Schultz, R 

作者机构：Konrad-Zuse-Zentrum I. D-14195 Berlin Takustrasse 7 Germany 

出 版 物：《SIAM JOURNAL ON OPTIMIZATION》 (工业与应用数学会最优化杂志)

年 卷 期：1996年第6卷第4期

页      面：1138-1152页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：stochastic integer programming parametric integer programming Holder continuity stability variational distance of probability measures Vapnik-Cervonenkis class law of the iterated logarithm 

摘      要：The stability of stochastic programs with mixed-integer recourse and random right-hand sides under perturbations of the integrating probability measure is considered from a quantitative viewpoint. Objective-function values of perturbed stochastic programs are related to each other via a variational distance of probability measures based on a suitable Vapnik-Cervonenkis class of Borel sets in a Euclidean space. This leads to Holder continuity of local optimal values. In the context of estimation via empirical measures the general results imply qualitative and quantitative statements on the asymptotic convergence of local optimal values and optimal solutions.