WIAS Preprint No. 798, (2002)

Hölder and Lipschitz stability of solution sets in programs with probabilistic constraints



Authors

  • Henrion, René
  • Römisch, Werner

2010 Mathematics Subject Classification

  • 90C15 90C31

Keywords

  • probabilistic constraints, chance constraints, Lipschitz stability, stochastic optimization

Abstract

We study perturbations of a stochastic program with a probabilistic constraint and 𝑟-concave original probability distribution. First we improve our earlier results substantially and provide conditions implying Hölder continuity properties of the solution sets w.r.t. the Kolmogorov distance of probability distributions. Secondly, we derive an upper Lipschitz continuity property for solution sets under more restrictive conditions on the original program and on the perturbed probability measures. The latter analysis applies to linear-quadratic models and is based on work by Bonnans and Shapiro. The stability results are illustrated by numerical tests showing the different asymptotic behaviour of parametric and nonparametric estimates in a program with a normal probabilistic constraint.

Appeared in

  • Mathematical Programming 100 (2004), 589-611

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