Worst-case distribution analysis of stochastic programs

Alexander Shapiro (ashapiroisye.gatech.edu)

Abstract: 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.

Keywords:

Category 1: Stochastic Programming

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Entry Submitted: 09/27/2004
Entry Accepted: 09/27/2004
Entry Last Modified: 09/27/2004

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