Convexity, Lipschitz property and differentiability in two-stage stochastic nonlinear programming problems (1996)
BibTeX
@MISC{Kankova96convexity,lipschitz,
author = {Vlasta Kankova},
title = {Convexity, Lipschitz property and differentiability in two-stage stochastic nonlinear programming problems},
year = {1996}
}
Bookmark
 |
 |
 |
 |
 |
 |
OpenURL
Abstract
In the paper, two--stage stochastic nonlinear programming problems are investigated. In particular, the optimization problems with two types of decision are investigated. They are the solution of the basic (outer) problem depending on the underlying random element only through the corresponding probability law (more precisely through the corresponding mathematical expectation) and the solution of the inner (recourse) problem that can depend on this realization. In addition, a new random element (connected to the inner problem) is considered. The solution of the inner problem can depend on this new random element only through the corresponding conditional mathematical expectation. The objective function of the outer problem includes the optimal value of the inner problem. The aim of this paper is to investigate the behaviour of the objective function of the outer problem. A special attention is paid to the convexity, Lipschitz property and the existence of the partial derivatives. An ex...
