STABILITY IN TWO-STAGE STOCHASTIC INTEGER PROGRAMMING

Abstract

There is a large number of different approaches for formulating and
solving optimization problems under uncertainty. In applications, one is
usually faces incomplete information on probability measure u.
Numerical attemps has been made mostly rely on approximating u by
"simpler" measures. This paper presents overview of stability of twostage
Stochastic Integer Programming model under perturbations of the
integrating probability measure u.

Keywords : stochastic programming, complete integer recourse,
Simple integer recourse, stability, probability measure.