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Quantitative Stability Analysis of Stochastic Generalized Equations

Yongchao Liu (googleliu0717***at***yahoo.com.cn)
Werner Romisch (romisch***at***math.hu-berlin.de)
Huifu Xu (Huifu.Xu.1***at***city.ac.uk)

Abstract: We consider the solution of a system of stochastic generalized equations (SGE) where the underlying functions are mathematical expectation of random set-valued mappings. SGE has many applications such as characterizing optimality conditions of a nonsmooth stochastic optimization problem and a stochastic equilibrium problem. We derive quantitative continuity of expected value of the set-valued mapping with respect to the variation of the underlying probability measure in a metric space. This leads to the subsequent qualitative and quantitative stability analysis of solution set mappings of the SGE. Under some metric regularity conditions, we derive Aubin's property of the solution set mapping with respect to the change of probability measure. The established results are applied to stability analysis of stationary points of classical one stage and two stage stochastic minimization problems, two stage stochastic mathematical programs with equilibrium constraints and stochastic programs with second order dominance constraints.

Keywords: stochastic generalized equations, stability analysis, equicontinuity, stochastic programs, two stage, equilibrium constraints, dominance constraints, stationary points

Category 1: Stochastic Programming


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Entry Submitted: 06/11/2012
Entry Accepted: 06/11/2012
Entry Last Modified: 07/14/2013

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