Nonlinear stochastic programming–With a case study in continuous switching

Alois Pichler and Asgeir Tomasgard

European Journal of Operational Research, 2016, vol. 252, issue 2, 487-501

Abstract: The optimal solution, as well as the objective of stochastic programming problems vary with the underlying probability measure. This paper addresses stability with respect to the underlying probability measure and stability of the objective.

Keywords: Stochastic optimization; Nonlinear programming; Risk measures; Robust optimization; Wasserstein metrics (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:252:y:2016:i:2:p:487-501

DOI: 10.1016/j.ejor.2016.01.007

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