Quantitative stability of two-stage stochastic linear variational inequality problems with fixed recourse

被引：4
|
作者：
Liu, JianXun [1 ]
Li, ShengJie [1 ]
Jiang, Jie [1 ]
机构：
[1] Chongqing Univ, Coll Math & Stat, Chongqing, Peoples R China
来源：
APPLICABLE ANALYSIS | 2022年 / 101卷 / 08期
基金：
中国博士后科学基金; 中国国家自然科学基金;
关键词：
Two-stage stochastic variational inequality problem; Residual function; Quantitative stability analysis; Sample average approximation; Convergence analysis; SAMPLE AVERAGE APPROXIMATION; RESIDUAL MINIMIZATION METHOD; MATHEMATICAL PROGRAMS; EQUILIBRIUM;
D O I：
10.1080/00036811.2020.1836352
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper focus on the quantitative stability of a class of two-stage stochastic linear variational inequality problems whose second stage problems are stochastic linear complementarity problems with fixed recourse matrix. Firstly, we discuss the existence of solutions to this two-stage stochastic problems and its perturbed problems. Then, by using the corresponding residual function, we derive the quantitative stability of this two-stage stochastic problem under Fortet-Mourier metric. Finally, we study the sample average approximation problem, and obtain the convergence of optimal solution sets under moderate assumptions.
引用
收藏
页码：3122 / 3138
页数：17
相关论文
共 50 条
  • [1] Quantitative analysis for a class of two-stage stochastic linear variational inequality problems
    Jie Jiang
    Xiaojun Chen
    Zhiping Chen
    Computational Optimization and Applications, 2020, 76 : 431 - 460
  • [2] Quantitative analysis for a class of two-stage stochastic linear variational inequality problems
    Jiang, Jie
    Chen, Xiaojun
    Chen, Zhiping
    COMPUTATIONAL OPTIMIZATION AND APPLICATIONS, 2020, 76 (02) : 431 - 460
  • [3] Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse
    Jiang, Jie
    Chen, Zhiping
    NUMERICAL FUNCTIONAL ANALYSIS AND OPTIMIZATION, 2019, 40 (16) : 1847 - 1876
  • [4] Quantitative stability of full random two-stage stochastic programs with recourse
    Han, Youpan
    Chen, Zhiping
    OPTIMIZATION LETTERS, 2015, 9 (06) : 1075 - 1090
  • [5] Quantitative stability of full random two-stage stochastic programs with recourse
    Youpan Han
    Zhiping Chen
    Optimization Letters, 2015, 9 : 1075 - 1090
  • [6] Bounds for two-stage stochastic programs with fixed recourse
    Edirisinghe, N.C.P.
    Ziemba, W.T.
    Mathematics of Operations Research, 1994, 19 (02)
  • [7] Quantitative stability of full random two-stage problems with quadratic recourse
    Zhang, Sainan
    Guo, Shaoyan
    Zhang, Hongwei
    Zhang, Liwei
    OPTIMIZATION, 2019, 68 (08) : 1551 - 1576
  • [8] Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse
    Duan, Qingsong
    Xu, Mengwei
    Guo, Shaoyan
    Zhang, Liwei
    ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH, 2018, 35 (05)
  • [9] Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
    Dentcheva, Darinka
    Martinez, Gabriela
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2012, 219 (01) : 1 - 8
  • [10] The properties of two-stage minimum risk problems with fixed recourse
    Liu, Yan-Kui
    Liu, Ying
    Proceedings of the Fifth International Conference on Information and Management Sciences, 2006, 5 : 514 - 519
12345