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Distribution functions in stochastic programs with recourse: A parametric analysis

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Abstract

This paper studies the behavior of the optimum value of a two-stage stochastic program with recourse (random right-hand sides) as the mean and covariance matrices defining the random variables in the program are perturbed. Several results for convex programs are developed and are used to study the effect such perturbations have on the regularity properties of the stochastic programs. Cost associated with incorrectly specifying the mean and covariance matrices are discussed and estimated. A stochastic programming model in which the random variable is dependent on the first-stage decision is presented.

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References

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Authors and Affiliations

  1. University of Chicago, Chicago, Ill., USA

    Stanley J. Garstka

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  1. Stanley J. Garstka
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Garstka, S.J. Distribution functions in stochastic programs with recourse: A parametric analysis. Mathematical Programming 6, 339–351 (1974). https://doi.org/10.1007/BF01580249

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  • DOI: https://doi.org/10.1007/BF01580249

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