Differential Stability of Two-Stage Stochastic Programs
نویسندگان
چکیده
منابع مشابه
Differential Stability of Two-Stage Stochastic Programs
Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identiied implying that these mappings are directionally diierentiable and semidiierentiable on appropriate functional spaces. Explicit formulas for the derivatives are derived...
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Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identiied implying that these mappings are directionally diierentiable and semidiieren-tiable on appropriate functional spaces. Explicit formulas for the derivatives are derive...
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Two stage stochastic programs with random right hand side are considered Optimal values and solution sets are regarded as mappings of the expected re course functions and their perturbations respectively Conditions are identi ed implying that these mappings are directionally di erentiable and semidi eren tiable on appropriate functional spaces Explicit formulas for the derivatives are derived S...
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We extend the traditional two-stage linear stochastic program by probabilistic constraints imposed in the second stage. This adds nonlinearity such that basic arguments for analyzing the structure of linear two-stage stochastic programs have to be rethought from the very beginning. We identify assumptions under which the problem is structurally sound and behaves stable under perturbations of pr...
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Mixed-integer two-stage stochastic programs with fixed recourse matrix, random recourse costs, technology matrix, and right-hand sides are considered. Quantitative continuity properties of its optimal value and solution set are derived when the underlying probability distribution is perturbed with respect to an appropriate probability metric.
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2000
ISSN: 1052-6234,1095-7189
DOI: 10.1137/s1052623499316520