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Strong Convexity and Directional Derivatives of Marginal Values in Two-Stage Stochastic Programming

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Stochastic Programming

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 423))

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Abstract

Two-stage stochastic programs with random right-hand side are considered. Verifiable sufficient conditions for the existence of second-order directional derivatives of marginal values are presented. The central role of the strong convexity of the expected recourse function as well as of a Lipschitz stability result for optimal sets is emphasized.

This research has been supported by the Schwerpunktprogramm “Anwendungsbezogene Optimierung und Steuerung” of the Deutsche Forschungsgemeinschaft

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Author information

Authors and Affiliations

  1. Institut für Angewandte Mathematik, Humboldt-Universität Berlin, Unter den Linden 6, D-10099, Berlin, Germany

    Darinka Dentcheva & Werner Römisch

  2. Konrad-Zuse-Zentrum für Informationstechnik Berlin, Heilbronner Str. 10, D-10711, Berlin, Germany

    Rüdiger Schultz

Authors
  1. Darinka Dentcheva
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  2. Werner Römisch
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  3. Rüdiger Schultz
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Editor information

Editors and Affiliations

  1. Fk. LRT, Universität der Bundeswehr Müchen, D-85577, Neubiberg/München, Germany

    Kurt Marti

  2. Institut für Operations Research, Universität Zürich, Moussonstr. 15, CH-8044, Zürich, Switzerland

    Peter Kall

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© 1995 Springer-Verlag Berlin Heidelberg

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Dentcheva, D., Römisch, W., Schultz, R. (1995). Strong Convexity and Directional Derivatives of Marginal Values in Two-Stage Stochastic Programming. In: Marti, K., Kall, P. (eds) Stochastic Programming. Lecture Notes in Economics and Mathematical Systems, vol 423. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-88272-2_2

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  • DOI: https://doi.org/10.1007/978-3-642-88272-2_2

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-58996-9

  • Online ISBN: 978-3-642-88272-2

  • eBook Packages: Springer Book Archive

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