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Scenario-based stochastic programs: Resistance with respect to sample

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Abstract

A contamination technique is presented as a numerically tractable tool to post-optimization and analysis of robustness of the optimal value of scenario-based stochastic programs and of the expected value problems. Detailed applications of the method concern the two-stage stochastic linear programs with random recourse and the corresponding robust optimization problems.

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Authors and Affiliations

  1. Faculty of Mathematics and Physics, Charles University, Sokolovská 83, 18600, Prague 8, Czech Republic

    Jitka Dupačová

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  1. Jitka Dupačová
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Additional information

This work was supported by the Grant Agency of the Czech Republic under Grant No. 402/93/0631.

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Dupačová, J. Scenario-based stochastic programs: Resistance with respect to sample. Ann Oper Res 64, 21–38 (1996). https://doi.org/10.1007/BF02187639

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  • DOI: https://doi.org/10.1007/BF02187639

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