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Stability Analysis of One Stage Stochastic Mathematical Programs with Complementarity Constraints

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Abstract

We study the quantitative stability of the solution sets, optimal value and M-stationary points of one stage stochastic mathematical programs with complementarity constraints when the underlying probability measure varies in some metric probability space. We show under moderate conditions that the optimal solution set mapping is upper semi-continuous and the optimal value function is Lipschitz continuous with respect to probability measure. We also show that the set of M-stationary points as a mapping is upper semi-continuous with respect to the variation of the probability measure. A particular focus is given to empirical probability measure approximation which is also known as sample average approximation (SAA). It is shown that optimal value and M-stationary points of SAA programs converge to their true counterparts with probability one (w.p.1.) at exponential rate as the sample size increases.

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Authors and Affiliations

  1. School of Mathematical Sciences, Dalian University of Technology, Dalian, Liaoning, China

    Yongchao Liu & Gui-Hua Lin

  2. School of Mathematics, University of Southampton, Southampton, UK

    Huifu Xu

Authors
  1. Yongchao Liu
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  2. Huifu Xu
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  3. Gui-Hua Lin
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Correspondence to Yongchao Liu.

Additional information

Communicated by Johannes O. Royset.

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Liu, Y., Xu, H. & Lin, GH. Stability Analysis of One Stage Stochastic Mathematical Programs with Complementarity Constraints. J Optim Theory Appl 152, 537–555 (2012). https://doi.org/10.1007/s10957-011-9903-6

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  • DOI: https://doi.org/10.1007/s10957-011-9903-6

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