Heitsch, H.; Römisch, W.; Strugarek, C. Stability of multistage stochastic programs. (English) Zbl 1165.90582 SIAM J. Optim. 17, No. 2, 511-525 (2006). Summary: 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. Cited in 2 ReviewsCited in 41 Documents MSC: 90C15 Stochastic programming 90C31 Sensitivity, stability, parametric optimization Keywords:stochastic programming; multistage; nonanticipativity; stability; filtration; probability metrics PDFBibTeX XMLCite \textit{H. Heitsch} et al., SIAM J. Optim. 17, No. 2, 511--525 (2006; Zbl 1165.90582) Full Text: DOI Link