郭少艳

个人信息Personal Information

副教授

博士生导师

硕士生导师

性别:女

毕业院校:大连理工大学

学位:博士

所在单位:数学科学学院

办公地点:创新园大厦A1025

电子邮箱:syguo@dlut.edu.cn

扫描关注

论文成果

当前位置: 中文主页 >> 科学研究 >> 论文成果

Quantitative stability of full random two-stage problems with quadratic recourse

点击次数:

论文类型:期刊论文

发表时间:2019-08-03

发表刊物:OPTIMIZATION

收录刊物:SCIE

卷号:68

期号:8

页面范围:1551-1576

ISSN号:0233-1934

关键字:Stochastic programming; quadratic programming; Fortet-Mourier metric; asymptotic behaviour

摘要:In this paper, we discuss quantitative stability of two-stage stochastic programs with quadratic recourse where all parameters in the second-stage problem are random. By establishing the Lipschitz continuity of the feasible set mapping of the restricted Wolfe dual of the second-stage quadratic programming in terms of the Hausdorff distance, we prove the local Lipschitz continuity of the integrand of the objective function of the two-stage stochastic programming problem and then establish quantitative stability results of the optimal values and the optimal solution sets when the underlying probability distribution varies under the Fortet-Mourier metric. Finally, the obtained results are applied to study the asymptotic behaviour of the empirical approximation of the model.