Diierential Stability of Two-stage Stochastic Programs
نویسنده
چکیده
Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identiied implying that these mappings are directionally diierentiable and semidiieren-tiable on appropriate functional spaces. Explicit formulas for the derivatives are derived. Special attention is paid to the role of a Lipschitz condition for solution sets as well as of a quadratic growth condition of the objective function.
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