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Strong Convexity in Stochastic Programs with Complete Recourse II: Partially Random Right-Hand Side

Please always quote using this URN: urn:nbn:de:0297-zib-1874
  • We establish a verifiable sufficient condition for strong convexity of the expected recourse as a function of the tender variable in a two-stage stochastic program with linear recourse. Generalizing a former result where all components of the second-stage right-hand side vector were random we treat the case where only a subvector of the right-hand side is random. As prerequisite, a refined analysis of the polyhedral complex of lineality regions of the second-stage value function is carried out. The sufficient condition for strong convexity allows to widen the class of recourse models for which certain quantitative results on stability and asymptotic convergence of optimal solutions are valid.

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Metadaten
Author:Rüdiger Schultz
Document Type:ZIB-Report
Date of first Publication:1995/09/11
Series (Serial Number):ZIB-Report (SC-95-21)
ZIB-Reportnumber:SC-95-21
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