张立卫Liwei Zhang

(教授)

 博士生导师  硕士生导师
学位:博士
性别:男
毕业院校:大连理工大学
所在单位:数学科学学院
电子邮箱:lwzhang@dlut.edu.cn

论文成果

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

发表时间:2019-03-12 点击次数:

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