Show simple item record

2013-07-25Buch DOI: 10.18452/8437
Conditioning of linear-quadratic two-stage stochastic optimization problems
dc.contributor.authorEmich, Konstantin
dc.contributor.authorHenrion, René
dc.contributor.authorRömisch, Werner
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:30:03Z
dc.date.available2017-06-16T20:30:03Z
dc.date.created2013-07-29
dc.date.issued2013-07-25
dc.date.submitted2013-04-01
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9089
dc.description.abstractIn this paper a condition number for linear-quadratic two-stage stochastic optimization problemsis introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probabilitydistribution the solution set of the problem. Being the outer norm of the Mordukhovich coderivativeof this multifunction, the condition number can be estimated from above explicitly in terms of theproblem data by applying appropriate calculus rules. Here, a chain rule for the extended partialsecond-order subdifferential recently proved by Mordukhovich and Rockafellar plays a crucial role.The obtained results are illustrated for the example of two-stage stochastic optimization problemswith simple recourse.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectstochastic optimizationeng
dc.subjectsimple recourseeng
dc.subjecttwo-stage linear-quadratic problemseng
dc.subjectconditioningeng
dc.subjectcoderivative calculuseng
dc.subject.ddc510 Mathematik
dc.titleConditioning of linear-quadratic two-stage stochastic optimization problems
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100211236
dc.identifier.doihttp://dx.doi.org/10.18452/8437
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages13
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2013
local.edoc.container-issue7
local.edoc.container-erstkatid2936317-2

Show simple item record