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Stability of multistage stochastic programming

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Abstract

In this paper, we study the stability of multistage stochastic programming with recourse in a way that is different from that used in studying stability of two-stage stochastic programs. Here, we transform the multistage programs into mathematical programs in the space ℝn×L p with a simple objective function and multistage stochastic constraints. By investigating the continuity of the multistage multifunction defined by the multistage stochastic constraints and applying epi-convergence theory we obtain stability results for linear and linear-quadratic multistage stochastic programs.

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Authors and Affiliations

  1. Department of Mathematics, Nanjing University, P.R. China

    Jinde Wang

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  1. Jinde Wang
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Project supported by the National Natural Science Foundation of China.

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Wang, J. Stability of multistage stochastic programming. Ann Oper Res 56, 313–322 (1995). https://doi.org/10.1007/BF02031713

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  • DOI: https://doi.org/10.1007/BF02031713

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