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Nonlinear stochastic programming–With a case study in continuous switching

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  • Pichler, Alois
  • Tomasgard, Asgeir

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.

Suggested Citation

  • Pichler, Alois & Tomasgard, Asgeir, 2016. "Nonlinear stochastic programming–With a case study in continuous switching," European Journal of Operational Research, Elsevier, vol. 252(2), pages 487-501.
    • Handle: RePEc:eee:ejores:v:252:y:2016:i:2:p:487-501
    DOI: 10.1016/j.ejor.2016.01.007
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    References listed on IDEAS

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    1. Villumsen, J.C. & Philpott, A.B., 2012. "Investment in electricity networks with transmission switching," European Journal of Operational Research, Elsevier, vol. 222(2), pages 377-385.
    2. George B. Dantzig, 1955. "Linear Programming under Uncertainty," Management Science, INFORMS, vol. 1(3-4), pages 197-206, 04-07.
    3. Georg Ch. Pflug & Alois Pichler, 2011. "Approximations for Probability Distributions and Stochastic Optimization Problems," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 343-387, Springer.
    4. Pichler, Alois, 2013. "The natural Banach space for version independent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 405-415.
    5. Georg Pflug & Alois Pichler, 2015. "Dynamic generation of scenario trees," Computational Optimization and Applications, Springer, vol. 62(3), pages 641-668, December.
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    Cited by:

    1. Mike G. Tsionas & Dionisis Philippas & Constantin Zopounidis, 2023. "Exploring Uncertainty, Sensitivity and Robust Solutions in Mathematical Programming Through Bayesian Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 205-227, June.

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