2005-11-02Buch DOI: 10.18452/2552
Differentiable Selections of Set-Valued Mappings
With Application in Stochastic Programming
We consider set-valued mappings defined on a linear normed space with convex closed images in IRn. Our aim is to construct selections which are (Hadamard) directionally differentiable using some approximation of the multifunction. The constructions suggested assume existence of a cone approximation given by a certain “derivative” of the mapping. The first one makes use of the properties of Steiner points. The notion of Steiner center is generalized for a class of unbounded sets, which include the polyhedral sets. The second construction defines a continuous selection through a given point of the graph of the multifunction and being Hadamard directionally differentiable at that point with derivatives belonging to the corresponding “derivative” of the multifunction. Both constructions lead to a directionally differentiable Castaing representation of measurable multifunctions with the required differentiability properties. The results are applied to obtain statements about the asymptotic behaviour of measurable selections of random sets via the delta-approach. Particularly, random sets of this kind build the solutions of two-stage stochastic programs.
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