Abstract
In the paper, stability of the optimal solution of a stochastic program with recourse with respect to small changes of the underlying distribution of random coefficients is considered. As a tool, contamination of the given distribution by another one is suggested and the original stability problem is thus reduced to that with linearly perturbed objective function. The theory of perturbed Kuhn-Tucker points and strongly regular equations is used to get explicit formulas for Gâteaux differentials of optimal solutions under different assumptions. Possible exploitation of the results for further robustness studies is indicated.
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© 1986 The Mathematical Programming Society, Inc.
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DupaČová, J. (1986). Stability in stochastic programming with recourse. Contaminated distributions. In: Prékopa, A., Wets, R.J.B. (eds) Stochastic Programming 84 Part I. Mathematical Programming Studies, vol 27. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0121117
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DOI: https://doi.org/10.1007/BFb0121117
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