Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse-Reference-Cited by-同舟云学术

Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse

Published:2019-07-12 Issue:16 Volume:40 Page:1847-1876
ISSN:0163-0563
Container-title:Numerical Functional Analysis and Optimization
language:en
Short-container-title:Numerical Functional Analysis and Optimization

Author:

Jiang Jie¹,Chen Zhiping¹

Affiliation:

1. Department of Computing Science, School of Mathematics and Statistics, Xi’an Jiaotong University, Shaanxi, China & Center for Optimization Technique and Quantitative Finance, Xi’an International Academy for Mathematics and Mathematical Technology, Shaanxi, China

Funder

National Natural Science Foundation of China

the World-Class Universities (Disciplines) and the Characteristic Development Guidance Funds for the Central Universities

Publisher

Informa UK Limited

Subject

Control and Optimization,Computer Science Applications,Signal Processing,Analysis

Link

https://www.tandfonline.com/doi/pdf/10.1080/01630563.2019.1639729

Reference29 articles.

1. Two-stage portfolio optimization with higher-order conditional measures of risk

2. Stochastic Variational Inequalities: Residual Minimization Smoothing Sample Average Approximations

3. Distributionally robust equilibrium for continuous games: Nash and Stackelberg models

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