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2012-10-13Buch DOI: 10.18452/8426
Quantitative Stability Analysis of Stochastic Generalized Equations
dc.contributor.authorLiu, Yongchao
dc.contributor.authorRömisch, Werner
dc.contributor.authorXu, Huifu
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:27:09Z
dc.date.available2017-06-16T20:27:09Z
dc.date.created2012-10-19
dc.date.issued2012-10-13
dc.date.submitted2012-06-15
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9078
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectstability analysiseng
dc.subjectstochastic semi-infinite programmingeng
dc.subjectstochastic generalized equationseng
dc.subjectequicontinuityeng
dc.subjectone stage stochastic programseng
dc.subjecttwo stage stochastic programseng
dc.subjecttow stage SMPCseng
dc.subject.ddc510 Mathematik
dc.titleQuantitative Stability Analysis of Stochastic Generalized Equations
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100204906
dc.identifier.doihttp://dx.doi.org/10.18452/8426
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue6
local.edoc.container-year2014
local.edoc.container-erstkatid2936317-2

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