Differential stability of two-stage stochastic programs

DOI10.1137/S1052623499316520MaRDI QIDQ2706317zbMATH OpenOpenAlexFDO

Authors Darinka Dentcheva, Werner Römisch

Publication date 19 March 2001

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s1052623499316520

zbMATH Keywords

directional derivativessemide-rivativessensitivity analysissolution setstwo-stage stochastic programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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(15)

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• Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse
• Quantitative stability of full random two-stage stochastic programs with recourse
• Bias reduction in sample-based optimization
• Quantitative stability analysis of two-stage stochastic linear programs with full random recourse
• Codifferentials and Quasidifferentials of the Expectation of Nonsmooth Random Integrands and Two-Stage Stochastic Programming
• Subgradient decomposition and differentiability of the recourse function of a two stage stochastic linear program

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