Distribution sensitivity analysis for stochastic programs with complete recourse |
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| Authors: | Jinde Wang |
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| Affiliation: | (1) University of Nanjing, Nanjing, China;(2) University of Kentucky, Lexington, KY, USA |
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| Abstract: | In this paper we study the stability of solutions to stochastic programming problems with complete recourse and show the Lipschitz continuity of optimal solutions as well as the associated Lagrange multipliers with respect to the parameters of the distribution function. |
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| Keywords: | Stochastic Programming Distribution Sensitivity Analysis Generalized Gradients |
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