ON THE EXPECTED VALUE FUNCTION OF A SIMPLE INTEGER RECOURSE PROBLEM WITH RANDOM TECHNOLOGY MATRIX

[摘要] In this paper we consider the expected value function of a stochastic simple recourse program with random technology matrix and integer variables in the second stage. Due to its separability the analysis is straightforward. Conditions for finiteness, continuity, Lipschitz continuity and differentiability are derived by conditioning upon the technology matrix. The corresponding results for a fixed technology matrix are repeated for easy reference.

[发布日期] 1994-12-20

[效力级别]  Proceedings Paper

[关键词] SIMPLE INTEGER RECOURSE;RANDOM TECHNOLOGY MATRIX;EXPECTED VALUE FUNCTION;CONTINUITY;LIPSCHITZ CONTINUITY;DIFFERENTIABILITY