Differential Stability of Two-Stage Stochastic Programs

DOI10.1137/S1052623499316520zbMath0999.90042OpenAlexW2039695945MaRDI QIDQ2706317

Dentcheva, Darinka, 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

sensitivity analysisdirectional derivativessolution setstwo-stage stochastic programssemide-rivatives

Mathematics Subject Classification ID

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

Related Items

Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities, Quantitative stability of full random two-stage stochastic programs with recourse, Testing the structure of multistage stochastic programs, Multiplier stabilization applied to two-stage stochastic programs, Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse, A two-stage stochastic model for maintenance and rehabilitation planning of pavements, Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse, Bias Reduction in Sample-Based Optimization