On differential stability in stochastic programming
On differential stability in stochastic programming
复制标题
随机规划中的微分稳定性
DOI：
10.1007/bf01580855
复制
发表时间：
1990
影响因子：
2.7
通讯作者：
A. Shapiro
中科院分区：
文献类型：
--
作者：
A. Shapiro
本文将随机规划问题的最优解视为基本概率分布的函数。利用非线性规划灵敏度分析的一些最新结果，计算了它们在G？teaux意义下的方向导数。这些导数被用作启发式工具，以求出最优解的统计估计量的渐近分布。
In this paper optimal solutions of a stochastic programming problem are considered as functions of the underlying probability distribution. Their directional derivatives, in the sense of Gâteaux, are calculated by applying some recent results from the sensitivity analysis of nonlinear programs. These derivatives are employed as a heuristic device in order to derive the asymptotic distribution of statistical estimators of the optimal solutions.