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arXiv · 1802.06585

Strong Convexity in Stochastic Programs with Deviation Risk Measures

Matthias Claus·Rüdiger Schultz·Kai Spürkel
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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.

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Matthias Claus, Rüdiger Schultz, Kai Spürkel. 2018-02-19. Strong Convexity in Stochastic Programs with Deviation Risk Measures. https://arxiv.org/abs/1802.06585

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