WIAS Preprint No. 397, (1998)

Stability of solutions to chance constrained stochastic programs



Authors

  • Henrion, René
  • Römisch, Werner

2010 Mathematics Subject Classification

  • 90C15 90C31

Keywords

  • stochastic programming, chance constraints, r-concave measures, quantitative stability

Abstract

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.

Appeared in

  • J. Guddat, R. Hirabayashi, H.Th. Jongen and F. Twilt (eds): Parametric Optimization and Related Topics V, Peter Lang, Frankfurt a.M., 2000, pp. 95-114.

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