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LIPSCHITZIAN PROPERTIES AND STABILITY OF A CLASS OF FIRST-ORDER STOCHASTIC DOMINANCE CONSTRAINTS.

Authors :
CLAUS, M.
SCHULTZ, R.
Source :
SIAM Journal on Optimization; 2015, Vol. 25 Issue 1, p396-415, 20p
Publication Year :
2015

Abstract

Considering first-order stochastic dominance constraints for random variables arising as optimal values of stochastic programs with linear recourse, verifiable sufficient conditions for metric regularity are presented. A growth condition developed in [R. Henrion and W. Romisch, Math. Program., 84 (1999), pp. 55-88] has a crucial role in the analysis of the present paper. Implications regarding stability and sensitivity of optimal values and optimal solutions of stochastic optimization problems involving the dominance constraints considered conclude the paper. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
10526234
Volume :
25
Issue :
1
Database :
Complementary Index
Journal :
SIAM Journal on Optimization
Publication Type :
Academic Journal
Accession number :
108640712
Full Text :
https://doi.org/10.1137/140960347