Strong convexity in risk-averse stochastic programs with complete recourse

作     者：Claus, Matthias Schultz, Ruediger Spuerkel, Kai 

作者机构：Univ Duisburg Essen Thea Leymann Str 9 D-45127 Essen Germany 

出 版 物：《COMPUTATIONAL MANAGEMENT SCIENCE》 (计算管理科学)

年 卷 期：2018年第15卷第3-4期

页      面：411-429页

学科分类：07[理学] 070102[理学-计算数学] 0701[理学-数学] 

基　　金：Deutsche Forschungsgemeinschaft [TRR 154] 

主　　题：Two-stage stochastic programming Linear recourse Strong convexity Expected excess Semideviation 

摘      要：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.