Distribution Sensitivity Analysis for Stochastic Programs with Recourse

Wang J (1982). Distribution Sensitivity Analysis for Stochastic Programs with Recourse. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-82-133

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Abstract

In this paper we study the stability of solutions to stochastic programming problems with recourse and show the Lipschitz continuity of optimal solutions as well as the associated Lagrange multipliers with respect to the distribution function.

Item Type: Monograph (IIASA Working Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:50
Last Modified: 15 Aug 2016 01:51
URI: http://pure.iiasa.ac.at/1883

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