|edoc-Server der Humboldt-Universität zu Berlin|
Yongchao Liu, Dalian University of Technology|
Huifu Xu, University of Southampton
|Title:||Stability and sensitivity analysis of stochastic programs with second order dominance constraints|
|Date of Acceptance:||25.05.2010|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-100174214)|
|Keywords (eng):||sample average approximation, Lipschitz stability, second order dominance, stochastic semi-infinite programming, error bound|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
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|In this paper we present stability and sensitivity analysis of a stochastic optimization problem with stochastic second order dominance constraints. We consider perturbation of the underlying probability measure in the space of regular measures equipped with pseudometric discrepancy distance ( ). By exploiting a result on error bound in semi-inﬁnite programming due to Gugat , we show under the Slater constraint qualiﬁcation that the optimal value function is Lipschitz continuous and the optimal solution set mapping is upper semicontinuous with respect to the perturbation of the probability measure. In particular, we consider the case when the probability measure is approximated by empirical probability measure and show the exponential rate of convergence of optimal solution obtained from solving the approximation problem. The analysis is extended to the stationary points when the objective function is nonconvex.|
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