Stability results for stochastic programs and sensors, allowing for discontinuous objective functions

Content:

The paper examines the stability of the optimal value and the solutions of stochastic programming problems. We check stability with respect to variations in both the problem formulation and the probability distribution that describes the uncertainty. Of particular interest is the case where the payoff functions may be discontinuous. We apply these results to analyze the stability of sensors, that model the possibility of making inquiries to improve the probabilistic information available about the uncertain quantities.