Quantitative Stability of Two-stage Stochastic Linear Programs with Full Random Recourse

In this paper, we use the parametric programming technique and pseudo metrics to study the quantitative stability of the two-stage stochastic linear programming problem with full random recourse. Under the simultaneous perturbation of the cost vector, coefficient matrix and right-hand side vector, we first establish the locally Lipschitz continuity of the optimal value function and … Read more