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: | Schultz Rudiger |
Keywords: | stochastic processes |
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.