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

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

发表时间:2019-11-04 点击次数:

论文名称:Quantitative stability of full random two-stage problems with quadratic recourse
论文类型:期刊论文
第一作者:Zhang, Sainan
通讯作者:Guo, SY (reprint author), Dalian Univ Technol, Sch Math Sci, Dalian, Peoples R China.
合写作者:Guo, Shaoyan,Zhang, Hongwei,Zhang, Liwei
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.
发表时间:2019-08-03