Strong Convexity in Stochastic Programs with Deviation Risk Measures
Optimization and Control
2018-02-20 v1
Abstract
We give sufficient conditions for the expected excess and the 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.
Cite
@article{arxiv.1802.06585,
title = {Strong Convexity in Stochastic Programs with Deviation Risk Measures},
author = {Matthias Claus and Rüdiger Schultz and Kai Spürkel},
journal= {arXiv preprint arXiv:1802.06585},
year = {2018}
}