点击次数：
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.