Continuity Properties of Expectation Functions in Stochastic Integer Programming

DOI10.1287/MOOR.18.3.578MaRDI QIDQ3140535zbMATH OpenOpenAlexFDO

Authors Rüdiger Schultz

Publication date 1993

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.18.3.578

zbMATH Keywords

Lipschitz continuitysecond-stage expected value functionstochastic linear programming

Mathematics Subject Classification ID

Integer programming (90C10) Mixed integer programming (90C11) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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Cited in

(19)

• Stochastic programming with simple integer recourse
• Convex approximations for complete integer recourse models
• Applying the minimax criterion in stochastic recourse programs
• On the expected value function of a simple integer recourse problem with random technology matrix
• On structure and stability in stochastic programs with random technology matrix and complete integer recourse
• Fenchel decomposition for stochastic mixed-integer programming
• Convex approximations for a class of mixed-integer recourse models
• Online stochastic optimization under time constraints
• A decomposition method for distributionally-robust two-stage stochastic mixed-integer conic programs
• Decomposition algorithms with parametric Gomory cuts for two-stage stochastic integer programs
• Exact solutions to a class of stochastic generalized assignment problems
• Simple integer recourse models: convexity and convex approximations
• The \(C^3\) theorem and a \(D^2\) algorithm for large scale stochastic mixed-integer programming: set convexification
• Integer set reduction for stochastic mixed-integer programming
• Disjunctive decomposition for two-stage stochastic mixed-binary programs with generalized upper bound constraints
• Total variation bounds on the expectation of periodic functions with applications to recourse approximations
• Lipschitz continuity of objective functions in stochastic programs with fixed recourse and its applications
• Continuity and stability of fully random two-stage stochastic programs with mixed-integer recourse
• A stochastic integer programming approach to air traffic scheduling and operations

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