Continuity properties of expectation functions in stochastic integer programming

Continuity properties of expectation functions in stochastic integer programming

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Article ID: iaor1994741
Country: United States
Volume: 18
Issue: 3
Start Page Number: 578
End Page Number: 589
Publication Date: Aug 1993
Journal: Mathematics of Operations Research
Authors:
Keywords: stochastic processes
Abstract:

Sufficient conditions for the (Lipschitz) continuity of the expectation of second-stage costs are given for two-stage stochastic programs, where the optimization problem in the second stage is a mixed-integer linear program. The paper also presents counterexamples to show that, in general, the results can no longer be maintained when relaxing assumptions as well as multivariate probability distributions for which the theory works.

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