Differential stability of two-stage stochastic programs

Darinka Dentcheva, Werner Römisch

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)87-112
Number of pages26
JournalSIAM Journal on Optimization
Volume11
Issue number1
DOIs
StatePublished - 2000

Keywords

  • Directional derivatives
  • Semiderivatives
  • Sensitivity analysis
  • Solution sets
  • Two-stage stochastic programs

Fingerprint

Dive into the research topics of 'Differential stability of two-stage stochastic programs'. Together they form a unique fingerprint.

Cite this