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张立卫 教授

张立卫,分别于1989年7月,1992年7月,1998年7月在大连理工大学应用数学系获得理学学士学位,运筹学与控制论专业硕士学位,计算数学博士学位,研究生导师是夏尊铨教授。1992年硕士毕业后在大连理工大学应用数学系工作至今,他1995年被评为副教授,1999年被评为教授,2002年被评为运筹学与控制论专业博士生导师,2005年被评为金融数学与保险精算专业博士生导师。他现在是大连理工大学数学科学学院的教授,博士生导师。 张立卫目前的研究兴趣是“随机优化”,“矩阵优化”,“变分分析”和“均衡优化”,在这些方向上发表SCI检索论文100余篇,其中有论文发表在运筹学与计算数学的顶级期刊上,这些期刊包括Operations Research, Mathematical Pr...

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Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse

发布时间: 2019-03-12 点击量:

  • 论文类型:期刊论文
  • 第一作者:Duan, Qingsong
  • 通讯作者:Xu, MW (reprint author), Tianjin Univ, Sch Math, Tianjin 300072, Peoples R China.
  • 合写作者:Xu, Mengwei,Guo, Shaoyan,Zhang, Liwei
  • 发表刊物:ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH
  • 收录刊物:SCIE
  • 卷号:35
  • 期号:5
  • ISSN号:0217-5959
  • 关键字:Stochastic program; second-order conic optimization; optimal value function; solution mapping; quantitative stability
  • 摘要:In this paper, we consider quantitative stability for full random two-stage linear stochastic program with second-order conic constraints when the underlying probability distribution is subjected to perturbation. We first investigate locally Lipschitz continuity of feasible set mappings of the primal and dual problems in the sense of Hausdorff distance which derives the Lipschitz continuity of the objective function, and then establish the quantitative stability results of the optimal value function and the optimal solution mapping for the perturbation problem. Finally, the obtained results are applied to the convergence analysis of optimal values and solution sets for empirical approximations of the stochastic problems.
  • 发表时间:2018-10-01