Strong convexity in risk-averse stochastic programs with complete recourse

Matthias Claus (), Rüdiger Schultz () and Kai Spürkel ()
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Matthias Claus: University of Duisburg-Essen
Rüdiger Schultz: University of Duisburg-Essen
Kai Spürkel: University of Duisburg-Essen

Computational Management Science, 2018, vol. 15, issue 3, No 6, 429 pages

Abstract: Abstract We give sufficient conditions for the expected excess and the mean-upper-semideviation of recourse functions to be strongly convex. This is done in the setting of two-stage stochastic programs with complete linear recourse and random right-hand side. This work extends results on strong convexity of risk-neutral models.

Keywords: Two-stage stochastic programming; Linear recourse; Strong convexity; Expected excess; Semideviation; 90C15; 90C31 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10287-018-0331-z

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