Abstract
A contamination technique is presented as a numerically tractable tool to post-optimization and analysis of robustness of the optimal value of scenario-based stochastic programs and of the expected value problems. Detailed applications of the method concern the two-stage stochastic linear programs with random recourse and the corresponding robust optimization problems.
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This work was supported by the Grant Agency of the Czech Republic under Grant No. 402/93/0631.
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Dupačová, J. Scenario-based stochastic programs: Resistance with respect to sample. Ann Oper Res 64, 21–38 (1996). https://doi.org/10.1007/BF02187639
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DOI: https://doi.org/10.1007/BF02187639