2005-10-21Buch DOI: 10.18452/2532
Metric regularity and quantitative stability in stochastic programs with probabilistic constraints
Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
Necessary and sufficient conditions for metric regularity of (several joint) probabilistic constraints are derived using recent results from nonsmooth analysis. The conditions apply to fairly general nonconvex, nonsmooth probabilistic constraints and extend earlier work in this direction. Further, a verifiable sufficient condition for quadratic growth of the objective function in a more specific convex stochastic program is indicated and applied in order to obtain a new result on quantitative stability of solution sets when the underlying probability distribution is subjected to perturbations. This is used to establish a large deviation estimate for solution sets when the probability measure is replaced by empirical ones.
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