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2005-11-02Buch DOI: 10.18452/2573
Differential Stability of Two-Stage Stochastic Programs
dc.contributor.authorDentcheva, Darinka
dc.contributor.authorRömisch, Werner
dc.date.accessioned2017-06-15T17:35:51Z
dc.date.available2017-06-15T17:35:51Z
dc.date.created2005-11-02
dc.date.issued2005-11-02
dc.identifier.issn0863-0976
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3225
dc.description.abstractTwo-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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectTwo-stage stochastic programseng
dc.subjectsensitivity analysiseng
dc.subjectdirectional derivativeseng
dc.subjectsemidifferentiabilityeng
dc.subjectsolution setseng
dc.subject.ddc510 Mathematik
dc.titleDifferential Stability of Two-Stage Stochastic Programs
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10051935
dc.identifier.doihttp://dx.doi.org/10.18452/2573
dc.subject.dnb27 Mathematik
local.edoc.container-titlePreprints aus dem Institut für Mathematik
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1996
local.edoc.container-issue36
local.edoc.container-year1996
local.edoc.container-erstkatid2075199-0

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