Quantitative stability of full random two-stage stochastic programs with recourse

DOI10.1007/s11590-014-0827-6zbMath1354.90083OpenAlexW2034063223MaRDI QIDQ497451

Zhiping Chen, Youpan Han

Publication date: 24 September 2015

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-014-0827-6

zbMATH Keywords

stabilityprobability metricstochastic programslocally Lipschitz continuityparametric linear programs

Mathematics Subject Classification ID

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

Related Items (11)

Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts ⋮ Hadamard directional differentiability of the optimal value of a linear second-order conic programming problem ⋮ On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse ⋮ Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse ⋮ Pseudo-Valid Cutting Planes for Two-Stage Mixed-Integer Stochastic Programs with Right-Hand-Side Uncertainty ⋮ Quantitative stability of full random two-stage problems with quadratic recourse ⋮ Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse ⋮ Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse ⋮ Continuity and stability of two-stage stochastic programs with quadratic continuous recourse

Cites Work

• Unnamed Item
• Unnamed Item
• Distribution sensitivity in stochastic programming
• Stability analysis for stochastic programs
• The sharp Lipschitz constants for feasible and optimal solutions of a perturbed linear program
• Sharper bounds for Gaussian and empirical processes
• Quantitative stability in stochastic programming
• Weak convergence and empirical processes. With applications to statistics
• Stability and sensitivity-analysis for stochastic programming
• Differential Stability of Two-Stage Stochastic Programs
• On the Sensitivity Analysis of Hoffman Constants for Systems of Linear Inequalities
• Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs
• Stability in Two-Stage Stochastic Programming
• Sharp Lipschitz Constants for Basic Optimal Solutions and Basic Feasible Solutions of Linear Programs
• Perturbation Analysis of a Condition Number for Linear Systems
• Variational Analysis
• Lipschitz Continuity of Solutions of Linear Inequalities, Programs and Complementarity Problems
• Error bounds for solutions of linear equations and inequalities
• Lipschitz Stability for Stochastic Programs with Complete Recourse
• On Perturbations in Systems of Linear Inequalities
• Quantitative Stability in Stochastic Programming: The Method of Probability Metrics

This page was built for publication: Quantitative stability of full random two-stage stochastic programs with recourse