Strong convexity and directional derivates of marginal values in two-stage stochastic programming

Abstract

Two-stage stochastic programs with random right-hand side are considered. Verifiable sufficient conditions for the existence of second-order directional derivatives of marginal values are presented. The central role of the strong convexity of the expected recourse function as well of a Lipschitz stability result for optimal sets is emphasized. (orig.)Available from TIB Hannover: RO 7722(484) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman