Journal Papers

Zhang, Sainan

Guo, SY (reprint author), Dalian Univ Technol, Sch Math Sci, Dalian, Peoples R China.

Guo, Shaoyan,Zhang, Hongwei,Zhang, Liwei

2019-08-03

OPTIMIZATION

SCIE

J

68

8

1551-1576

0233-1934

Stochastic programming; quadratic programming; Fortet-Mourier metric; asymptotic behaviour

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.