We discuss in this paper statistical inference of sample average approximations of multistage stochastic programming problems. We show that any random sampling scheme provides a valid statistical lower bound for the optimal (minimum) value of the true problem. However, in order for such lower...

We discuss in this paper statistical inference of sample average approximations of multistage stochastic programming problems. We show that any random sampling scheme provides a valid statistical lower bound for the optimal (minimum) value of the true problem. However, in order for such lower...

In stochastic optimization models the underlying probability measure must be very often replaced by its approximations. This leads to the investigation of the stability of such models with respect to changes in the probability measure. In this context, special attention is paid to recourse...