Conditioning of linear-quadratic two-stage stochastic optimization problems
نویسندگان
چکیده
منابع مشابه
Conditioning of linear-quadratic two-stage stochastic optimization problems
In this paper a condition number for linear-quadratic two-stage stochastic optimization problems is introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probability distribution the solution set of the problem. Being the outer norm of the Mordukhovich coderivative of this multifunction, the condition number canbe estimated fromabove explicitly in termsof the proble...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2013
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-013-0734-0