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Xiaojun Chen (xiaojun.chenpolyu.edu.hk) Abstract: A solution of twostage stochastic generalized equations is a pair: a first stage solution which is independent of realization of the random data and a second stage solution which is a function of random variables. This paper studies convergence of the sample average approximation of twostage stochastic nonlinear generalized equations. In particular an exponential rate of the convergence is shown by using the perturbed partial linearization of functions. Moreover, sufficient conditions for the existence, uniqueness, continuity and regularity of solutions of twostage stochastic generalized equations are presented under an assumption of monotonicity of the involved functions. These theoretical results are given without assuming relatively complete recourse, and are illustrated by twostage stochastic noncooperative games of two players. Keywords: Twostage stochastic generalized equations, sample average approximation, convergence, exponential rate, monotone multifunctions Category 1: Stochastic Programming Citation: X. Chen, A. Shapiro and H. Sun, Convergence analysis of sample average approximation of twostage stochastic generalized equations, submitted, 2018. Download: [PDF] Entry Submitted: 01/11/2018 Modify/Update this entry  
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