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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.