Strong Convexity and Directional Derivatives of Marginal Values in Two-Stage Stochastic Programming
作者： Darinka Dentcheva , Werner Römisch , Rüdiger Schultz
DOI: 10.1007/978-3-642-88272-2_2
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摘要: Two-stage stochastic programs with random right-hand side are considered. Verifiable sufficient conditions for the existence of second-order directional derivatives marginal values presented. The central role strong convexity expected recourse function as well a Lipschitz stability result optimal sets is emphasized.
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