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Lipschitz continuity of objective functions in stochastic programs with fixed recourse and its applications

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Stochastic Programming 84 Part I

Part of the book series: Mathematical Programming Studies ((MATHPROGRAMM,volume 27))

Abstract

This paper deals with Lipschitz continuity of the objective functions of two-stage stochastic program with fixed recourse w.r.t. the first stage variable x and the random vector ξ jointly. This is then used to study stability of the considered problem. Some results, expecially the Lipschitz continuity of the infimal functional in ξ, are stronger than early ones.

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References

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Authors and Affiliations

  1. Department of Mathematics, University of Nanjing, People’s Republic of China

    Jinde Wang

Authors
  1. Jinde Wang
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Andras Prékopa Roger J.- B. Wets

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© 1986 The Mathematical Programming Society, Inc.

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Wang, J. (1986). Lipschitz continuity of objective functions in stochastic programs with fixed recourse and its applications. 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/BFb0121118

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  • DOI: https://doi.org/10.1007/BFb0121118

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-00924-2

  • Online ISBN: 978-3-642-00925-9

  • eBook Packages: Springer Book Archive

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