Conditioning of linear-quadratic two-stage stochastic optimization problems

In this paper a condition number for linear-quadratic two-stage stochastic optimization problems is introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probability distribution the solution set of the problem. Being the outer norm of the Mordukhovich coderivative of th...

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Bibliographic Details
Published in:	Mathematical programming Vol. 148; no. 1-2; pp. 201 - 221
Main Authors:	Emich, Konstantin, Henrion, René, Römisch, Werner
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.12.2014 Springer Nature B.V
Subjects:	Analysis Calculus Calculus of Variations and Optimal Control; Optimization Chains Combinatorics Conditioning Full Length Paper Mathematical analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematical problems Mathematical programming Mathematics Mathematics and Statistics Mathematics of Computing Norms Numerical Analysis Optimization Probability distribution Quadratic programming Stochastic control theory Stochasticity Studies Theoretical 90C31 Simple recourse Two-stage linear-quadratic problems 49K40 90C15 Conditioning Stochastic optimization Coderivative calculus
ISSN:	0025-5610, 1436-4646
Online Access:	Get full text
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