LIPSCHITZIAN PROPERTIES AND STABILITY OF A CLASS OF FIRST-ORDER STOCHASTIC DOMINANCE CONSTRAINTS

被引：4
|
作者：
Claus, M. [1 ]
Schultz, R. [1 ]
机构：
[1] Univ Duisburg Essen, Fac Math, D-45127 Essen, Germany
来源：
SIAM JOURNAL ON OPTIMIZATION | 2015年 / 25卷 / 01期
关键词：
stochastic programming; stochastic dominance; stability; Aubin property; Lipschitzian properties; OPTIMIZATION PROBLEMS; METRIC REGULARITY; PROGRAMS; FORMULATIONS; SENSITIVITY; DUALITY;
D O I：
10.1137/140960347
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Considering first-order stochastic dominance constraints for random variables arising as optimal values of stochastic programs with linear recourse, verifiable sufficient conditions for metric regularity are presented. A growth condition developed in [R. Henrion and W. Romisch, Math. Program., 84 (1999), pp. 55-88] has a crucial role in the analysis of the present paper. Implications regarding stability and sensitivity of optimal values and optimal solutions of stochastic optimization problems involving the dominance constraints considered conclude the paper.
引用
收藏
页码：396 / 415
页数：20
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