Quantitative stability of mixed-integer two-stage quadratic stochastic programs

Zhiping Chen () and Youpan Han

Mathematical Methods of Operations Research, 2012, vol. 75, issue 2, 149-163

Abstract: For our introduced mixed-integer quadratic stochastic program with fixed recourse matrices, random recourse costs, technology matrix and right-hand sides, we study quantitative stability properties of its optimal value function and optimal solution set when the underlying probability distribution is perturbed with respect to an appropriate probability metric. To this end, we first establish various Lipschitz continuity results about the value function and optimal solutions of mixed-integer parametric quadratic programs with parameters in the linear part of the objective function and in the right-hand sides of linear constraints. The obtained results extend earlier results about quantitative stability properties of stochastic integer programming and stability results for mixed-integer parametric quadratic programs. Copyright Springer-Verlag 2012

Keywords: Stochastic quadratic programs; Lipschitz continuity; Mixed-integer; Stability; Probability metric (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00186-010-0326-1

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