Abstract
For two-stage stochastic programs where the optimization problem in the second stage is a mixed-integer linear program continuity of the expectation of second-stage costs jointly in the first-stage strategy and the integrating probability measure is derived. Then, regarding the two-stage stochastic program as a parametric program with the underlying probability measure as parameter, continuity of the locally optimal value and upper semicontinuity of the corresponding set of local solutions are established.
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© 1992 Springer-Verlag Berlin Heidelberg
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Schultz, R. (1992). Continuity and Stability in Two-Stage Stochastic Integer Programming. In: Marti, K. (eds) Stochastic Optimization. Lecture Notes in Economics and Mathematical Systems, vol 379. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-88267-8_4
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DOI: https://doi.org/10.1007/978-3-642-88267-8_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-55225-3
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