Worst-case distribution analysis of stochastic programs
نویسنده
چکیده
We show that for even quasi-concave objective functions the worst-case distribution, with respect to a family of unimodal distributions, of a stochastic programming problem is a uniform distribution. This extends the so-called “Uniformity Principle” of Barmish and Lagoa (1997) where the objective function is the indicator function of a convex symmetric set.
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عنوان ژورنال:
- Math. Program.
دوره 107 شماره
صفحات -
تاریخ انتشار 2006