Logo of Humboldt-Universität zu BerlinLogo of Humboldt-Universität zu Berlin
edoc-Server
Open-Access-Publikationsserver der Humboldt-Universität
de|en
Header image: facade of Humboldt-Universität zu Berlin
View Item 
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2012
  • View Item
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2012
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
View Item 
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2012
  • View Item
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2012
  • View Item
2012-10-13Buch DOI: 10.18452/8426
Quantitative Stability Analysis of Stochastic Generalized Equations
Liu, Yongchao
Römisch, Werner
Xu, Huifu
We consider the solution of a system of stochastic generalized equations (SGE) where theunderlying functions are mathematical expectation of random set-valued mappings. SGE hasmany applications such as characterizing optimality conditions of a nonsmooth stochastic optimization problem and a stochastic equilibrium problem. We derive quantitative continuityof expected value of the set-valued mapping with respect to the variation of the underlyingprobability 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 regularityconditions, we derive Aubin’s property of the solution set mapping with respect to the changeof probability measure. The established results are applied to stability analysis of stationary points of classical one stage and two stage stochastic minimization problems, two stagestochastic mathematical programs with equilibrium constraints and stochastic programs withsecond order dominance constraints.
Files in this item
Thumbnail
6.pdf — Adobe PDF — 185.2 Kb
MD5: 4edddd41a8ea32366e75be7095c31f91
Cite
BibTeX
EndNote
RIS
InCopyright
Details

Related Items

Show related Items with similar Title, Author, Creator or Subject.

  • 2005-11-02Buch
    Delay differential equations driven by Lévy processes: stationarity and Feller properties 
    Reiß, Markus; Riedle, Markus; Gaans, Onno van
    We consider a stochastic delay differential equation driven by a general Lévy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment ...
  • 2005-12-29Buch
    A Comparative Study of Decomposition Algorithms for Stochastic Combinatorial Optimization 
    Ntaimo, Lewis; Sen, Suvrajeet
    This paper presents comparative computational results using three decomposition algorithms on a battery of instances drawn from three different applications. In order to preserve the commonalities among the algorithms in ...
  • 2005-03-24Buch
    A two state model for noise-induced resonance in bistable systems with delay 
    Fischer, Markus; Imkeller, Peter
    The subject of the present paper is a simplified model for a symmetric bistable system with memory or delay, the reference model, which in the presence of noise exhibits a phenomenon similar to what is known as stochastic ...
DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
Imprint Policy Contact Data Privacy Statement
A service of University Library and Computer and Media Service
© Humboldt-Universität zu Berlin
 
DOI
10.18452/8426
Permanent URL
https://doi.org/10.18452/8426
HTML
<a href="https://doi.org/10.18452/8426">https://doi.org/10.18452/8426</a>