Di erential Stability of Two Stage Stochastic Programs
نویسنده
چکیده
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 Special attention is paid to the role of a Lipschitz condition for solution sets as well as of a quadratic growth condition of the objective function
منابع مشابه
Asymptotic stability in distribution of stochastic di#erential equations with Markovian switching
Stability of stochastic di#erential equations with Markovian switching has recently been discussed by many authors, for example, Basak et al. (J. Math. Anal. Appl. 202 (1996) 604), Ji and Chizeck (IEEE Trans. Automat. Control 35 (1990) 777), Mariton (Jump Linear System in Automatic Control, Marcel Dekker, New York), Mao (Stochastic Process. Appl. 79 (1999) 45), Mao et al. (Bernoulli 6 (2000) 73...
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