Lipschitz continuity of objective functions in stochastic programs with fixed recourse and its applications

DOI10.1007/BFb0121118zbMath0601.90117OpenAlexW175440523MaRDI QIDQ3737240

Jinde Wang

Publication date: 1986

Published in: Mathematical Programming Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bfb0121118

zbMATH Keywords

stabilityapproximationLipschitz continuitytwo-stage stochastic programmarginal valuefixed recourseepi-convergence theoryinfima functional

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (6)

Continuous approximation schemes for stochastic programs ⋮ Stability of multistage stochastic programming ⋮ Two-stage non-cooperative games with risk-averse players ⋮ Distribution sensitivity in stochastic programming ⋮ Approximate nonlinear programming algorithms for solving stochastic programs with recourse ⋮ Approximate Lagrange multiplier algorithm for stochastic programs with complete recourse: Nonlinear deterministic constraints

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