TY - JOUR
T1 - Differential stability of two-stage stochastic programs
AU - Dentcheva, Darinka
AU - Römisch, Werner
PY - 2000
Y1 - 2000
N2 - Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identified implying that these mappings are directionally differentiable and semidifferentiable on appropriate functional spaces. Explicit formulas for the derivatives are derived. Special attention is paid to the role of a Lipschitz condition for solution sets as well as of a quadratic growth condition of the objective function.
AB - Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identified implying that these mappings are directionally differentiable and semidifferentiable on appropriate functional spaces. Explicit formulas for the derivatives are derived. Special attention is paid to the role of a Lipschitz condition for solution sets as well as of a quadratic growth condition of the objective function.
KW - Directional derivatives
KW - Semiderivatives
KW - Sensitivity analysis
KW - Solution sets
KW - Two-stage stochastic programs
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U2 - 10.1137/S1052623499316520
DO - 10.1137/S1052623499316520
M3 - Article
AN - SCOPUS:0034551320
SN - 1052-6234
VL - 11
SP - 87
EP - 112
JO - SIAM Journal on Optimization
JF - SIAM Journal on Optimization
IS - 1
ER -