Strong convexity in risk-averse stochastic programs with complete recourse

DOI10.1007/s10287-018-0331-zzbMath1483.90093arXiv1802.06585OpenAlexW2887669065WikidataQ129427197 ScholiaQ129427197MaRDI QIDQ1989726

Matthias Claus, Kai Spürkel, Rüdiger Schultz

Publication date: 29 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.06585

zbMATH Keywords

two-stage stochastic programmingstrong convexityexpected excesssemideviationlinear recourse

Mathematics Subject Classification ID

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

Related Items (1)

Improving constants of strong convexity in linear stochastic programming

Cites Work

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• Stability analysis for stochastic programs
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• Integrals which are convex functionals
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• Linear Programming under Uncertainty
• Global and fine approximation of convex functions
• Introduction to Stochastic Programming
• Lipschitz Stability for Stochastic Programs with Complete Recourse
• Quantitative Stability of Variational Systems II. A Framework for Nonlinear Conditioning
• Convex analysis and monotone operator theory in Hilbert spaces

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