Stable Stochastic Linear Programs and Applications

A class of stochastic linear programs termed stable stochastic linear programs defined in terms of convergence of sequences of stochastic linear programs is introduced. A sufficient regularity condition for such stability is given, slightly stronger than the necessary and sufficient condition that a stochastic linear program (SLP) have optimal value altogether. Applications of this regularity condition to Monte Carlo methods, numerical solution of the distribution problem and two-stage programming are given. (Author).