• search hit 115 of 1103
Back to Result List

Conditioning of linear-quadratic two-stage stochastic optimization problems

Please always quote using this URN:urn:nbn:de:0296-matheon-12138
  • 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 this multifunction, the condition number can be estimated from above explicitly in terms of the problem data by applying appropriate calculus rules. Here, a chain rule for the extended partial second-order subdifferential recently proved by Mordukhovich and Rockafellar plays a crucial role. The obtained results are illustrated for the example of two-stage stochastic optimization problems with simple recourse.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Konstantin Emich, René Henrion, Werner Römisch
URN:urn:nbn:de:0296-matheon-12138
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2013/05/13
Release Date:2013/05/13
Tag:Stochastic optimization; coderivative calculus; conditioning; simple recourse; two-stage linear-quadratic problems
Institute:Humboldt-Universität zu Berlin
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:49-XX CALCULUS OF VARIATIONS AND OPTIMAL CONTROL; OPTIMIZATION [See also 34H05, 34K35, 65Kxx, 90Cxx, 93-XX] / 49Kxx Optimality conditions / 49K40 Sensitivity, stability, well-posedness [See also 90C31]
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C31 Sensitivity, stability, parametric optimization
Preprint Number:1011
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.