STABILITY OF SOLUTIONS FOR STOCHASTIC PROGRAMS WITH COMPLETE RECOURSE

Quantitative continuity of optimal solution sets to convex stochastic programs with (linear) complete recourse and random right-hand sides is investigated when the underlying probability measure varies in a metric space. The central result asserts that, under a strong-convexity condition for the expected recourse in the unperturbed problem, optimal tenders behave Holder-continuous with respect to a Wasserstein metric. For linear stochastic programs this carries over to the Hausdorff distance of optimal solution sets. A general sufficient condition for the crucial strong-convexity assumption is given and verified for recourse problems with separable and nonseparable objectives.