Strong Convexity and Directional Derivatives of Marginal Values in Two{stage Stochastic Programming
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چکیده
Two-stage stochastic programs with random right-hand side are considered. Veriiable suucient conditions for the existence of second-order directional derivatives of marginal values are presented. The central role of the strong convexity of the expected recourse function as well as of a Lipschitz stability result for optimal sets is emphasized.
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تاریخ انتشار 1995