Continuity and stability of two-stage stochastic programs with quadratic continuous recourse

Zhiping  Chen; Youpan  Han

doi:10.3934/naco.2015.5.197

Article Contents

2015, Volume 5, Issue 2: 197-209. Doi: 10.3934/naco.2015.5.197

This issue Previous Article A new semidefinite relaxation for $L_{1}$-constrained quadratic optimization and extensions Next Article Primal-dual interior-point algorithms for convex quadratic circular cone optimization

Continuity and stability of two-stage stochastic programs with quadratic continuous recourse

Zhiping Chen^1, and
Youpan Han^2,

1.
Department of Computing Science, School of Mathematics and Statistics, Xi'an Jiaotong University, 710049 Xi'an, Shanxi
2.
School of Science, Xi'an Polytechnic University,710048 Xi'an, Shanxi

Received: September 2014

Revised: May 2015

Published: May 2015

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Abstract

For two-stage stochastic programs with quadratic continuous recourse where all the coefficients in the objective function and the right-hand side vector in the second-stage constraints vary simultaneously, we firstly show the locally Lipschtiz continuity of the optimal value function of the recourse problem, then under suitable probability metric, we derive the joint Lipschitz continuity of the expected optimal value function with respect to the first-stage variables and the probability distribution. Furthermore, we establish the qualitative and quantitative stability results of the optimal value function and the optimal solution set with respect to the Fortet-Mourier probability metric, when the underlying probability distribution is perturbed. Finally, we show the exponential convergence rate of the optimal value sequence when we solve two-stage quadratic stochastic programs by the sample average approximation method.

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Mathematics Subject Classification: Primary: 90C15, 90C20,90C31.

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