Römisch, Werner; Schultz, Rüdiger Stability of solutions for stochastic programs with complete recourse. (English) Zbl 0797.90070 Math. Oper. Res. 18, No. 3, 590-609 (1993). Quantitative continuity of optimal solution sets to convex stochastic programs with (linear) complete recourse and random right-hand sides is investigated when the underlying probability measure various in a metric space. The central result asserts that, under a strong convexity condition for the expected recourse in the unperturbed problem, optimal tenders behave Hölder-continuous with respect to a Wasserstein metric. For linear stochastic programs this carries over to the Hausdorff distance of optimal solution sets. A general sufficient condition for the crucial strong-convexity assumption is given and verified for recourse problems with separable and nonseparable objectives. Reviewer: K.-J.Chung (Taipei) Cited in 20 Documents MSC: 90C15 Stochastic programming 90C31 Sensitivity, stability, parametric optimization Keywords:quantitative continuity of optimal solution sets; convex stochastic programs; complete recourse PDFBibTeX XMLCite \textit{W. Römisch} and \textit{R. Schultz}, Math. Oper. Res. 18, No. 3, 590--609 (1993; Zbl 0797.90070) Full Text: DOI