Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
Mathematics of Operations Research
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Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identified implying that these mappings are directionally differentiable and semidifferentiable on appropriate functional spaces. Explicit formulas for the derivatives are derived. Special attention is paid to the role of a Lipschitz condition for solution sets as well as of a quadratic growth condition of the objective function.