{"@context":["https://w3id.org/fdo/context/v1",{"schema":"https://schema.org/","prov":"http://www.w3.org/ns/prov#","fdo":"https://w3id.org/fdo/vocabulary/"}],"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q2833103","@type":"DigitalObject","kernel":{"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q2833103","digitalObjectType":"https://schema.org/ScholarlyArticle","primaryIdentifier":"mardi:Q2833103","kernelVersion":"v1","immutable":true,"modified":"2026-04-03T12:15:29Z"},"profile":{"@context":"https://schema.org","@type":"ScholarlyArticle","@id":"https://portal.mardi4nfdi.de/entity/Q2833103","name":"Robust sensitivity analysis for stochastic systems","headline":"Robust sensitivity analysis for stochastic systems","description":"scientific article; zbMATH DE number 6653590","url":"https://portal.mardi4nfdi.de/entity/Q2833103","datePublished":"2016-11-16","author":[{"@id":"https://portal.mardi4nfdi.de/entity/Q440379"}],"publisher":[{"@id":"https://portal.mardi4nfdi.de/entity/Q103831"}],"identifier":{"@type":"PropertyValue","propertyID":"doi","value":"10.1287/MOOR.2015.0776","url":"https://doi.org/10.1287/MOOR.2015.0776"},"sameAs":["https://doi.org/10.1287/MOOR.2015.0776"],"comment":"Let \\(X_1,\\dots,X_T\\) be a sequence of indipendent identically distributed random variables, \\(h(.)\\) be a real-valued function and \\(T\\) the time horizon. Let \\(h\\) be evaluated given to its arguments, but it does not necessarily have the closed form. Moreover, assume a baseline model \\(P_0\\) approximately describing each \\(X_i\\), so that the corresponding baseline performance measure is \\(E_0\\,h(X_T)\\). On the other hand, let \\(P_f\\) denote the distribution that governs the true model, which is unknown, and \\(E_f\\) the orresponding expectation. The author is interested in the worst (best) case optimization problem NEWLINE\\[NEWLINE\\max/\\min\\;E_f\\,h(X_T) \\quad st\\quad D(P_f||P_0)\\leq\\eta,\\;NEWLINE\\]NEWLINE where \\(D(P_f||P_0)\\) denotes the Kullback-Leibler divergence. The main result of this paper stipulates that, when letting \\(\\eta\\to0\\), then under mild technical assumptions on~\\(h\\) the optimal values of the problem can be written in the form NEWLINE\\[NEWLINE \\max/\\min\\;E_f\\,h(X_T)=E_0\\,h(X_T) + \\zeta_1(P_0,h)\\sqrt{\\eta}+\\zeta_2(P_0,h)\\eta+\\dots NEWLINE\\]NEWLINE where \\(\\zeta_1(P_0,h),\\,\\zeta_2(P_0,h)\\) is a sequence of coefficients that can be written explicitly in terms of~\\(h\\) and~\\(P_0\\).","citation":[{"@id":"https://portal.mardi4nfdi.de/entity/Q5966880"},{"@id":"https://portal.mardi4nfdi.de/entity/Q715242"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4367308"},{"@id":"https://portal.mardi4nfdi.de/entity/Q883069"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4221248"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3098258"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5166253"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2879011"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3098284"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4061797"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4454112"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3098272"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5422217"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5704221"},{"@id":"https://portal.mardi4nfdi.de/entity/Q975793"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4775774"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5804592"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3392069"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5476144"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5322137"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4819026"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4816848"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4507070"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2795863"},{"@id":"https://portal.mardi4nfdi.de/entity/Q615042"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5444939"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5592699"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4509628"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2879496"}]},"provenance":{"prov:generatedAtTime":"2026-04-03T12:15:29Z","prov:wasAttributedTo":"MaRDI Knowledge Graph"}}