Using Metrics in Stability of Stochastic Programming Problems

Užití metrik ve stabilitě úloh stochastického programování

Michal Houda ()

Acta Oeconomica Pragensia, 2005, vol. 2005, issue 1, 128-134

Abstract: Optimization techniques enter often as a mathematical tool into many economic applications. In these models, uncertainty is modelled via probability distribution that is approximated or estimated in real cases. Then we ask for a stability of solutions with respect to changes in the probability distribution. The work illustrates one of possible approaches (using probability metrics), underlying numerical challenges and a backward glance to economical interpretation.

Keywords: stochastic programming; quantitative stability; Wasserstein metrics; Kolmogorov metrics; simulation study (search for similar items in EconPapers)
JEL-codes: C44 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.18267/j.aop.145

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