OPTIMIZATION SEMINAR
Properties of the Expected Recourse Function in Two-Stage
Recourse Stochastic Linear Programs
Marcus Emsermann
University of Colorado at Denver
Department of Mathematics
Tuesday, Nov. 4, 1997, 12:00 noon
CU-Denver Bldg., Room 626
ABSTRACT:
After introducing the Two-Stage Linear Program and relevant
history we will present and investigate various characteristics of
the expected recourse function. Items of interest include continuity,
convexity and differentiability. If time permits, we will invite
participation in discussing applications of the aforementioned to
possible intelligent sampling procedures of gradients and hessians of
the expected recourse function for new solution methods.