Abstract
We give sufficient conditions for the expected excess and the mean-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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Acknowledgements
The authors would like to thank the Deutsche Forschungsgemeinschaft for supporting the first and second author via the Collaborative Research Center TRR 154.
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Claus, M., Schultz, R. & Spürkel, K. Strong convexity in risk-averse stochastic programs with complete recourse. Comput Manag Sci 15, 411–429 (2018). https://doi.org/10.1007/s10287-018-0331-z
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DOI: https://doi.org/10.1007/s10287-018-0331-z