Journal
SIAM JOURNAL ON OPTIMIZATION
Volume 17, Issue 2, Pages 511-525Publisher
SIAM PUBLICATIONS
DOI: 10.1137/050632865
Keywords
stochastic programming; multistage; nonanticipativity; stability; filtration; probability metrics
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Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave ( locally) Lipschitz continuous with respect to the sum of an L-r-distance and of a distance measure for the filtrations of the original and approximate stochastic ( input) processes. Various issues of the result are discussed and an illustrative example is given. Consequences for the reduction of scenario trees are also discussed.
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