张立卫Liwei Zhang

(教授)

 博士生导师  硕士生导师
学位:博士
性别:男
毕业院校:大连理工大学
所在单位:数学科学学院
电子邮箱:lwzhang@dlut.edu.cn

论文成果

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Quantitative stability analysis of stochastic quasi-variational inequality problems and applications

发表时间:2019-03-11 点击次数:

论文名称:Quantitative stability analysis of stochastic quasi-variational inequality problems and applications
论文类型:期刊论文
第一作者:Zhang, Jie
通讯作者:Xu, HF (reprint author), Univ Southampton, Sch Math Sci, Southampton SO17 1BJ, Hants, England.; Xu, HF (reprint author), Dalian Univ Technol, Dalian, Peoples R China.
合写作者:Xu, Huifu,Zhang, Liwei
发表刊物:MATHEMATICAL PROGRAMMING
收录刊物:Scopus、SCIE、EI
卷号:165
期号:1,SI
页面范围:433-470
ISSN号:0025-5610
关键字:Stochastic quasi-variational inequality; Quantitative stability analysis; Mathematical program with stochastic semidefinite constraints; Mathematical program with SQVIP constraints
摘要:We consider a parametric stochastic quasi-variational inequality problem (SQVIP for short) where the underlying normal cone is defined over the solution set of a parametric stochastic cone system. We investigate the impact of variation of the probability measure and the parameter on the solution of the SQVIP. By reformulating the SQVIP as a natural equation and treating the orthogonal projection over the solution set of the parametric stochastic cone system as an optimization problem, we effectively convert stability of the SQVIP into that of a one stage stochastic program with stochastic cone constraints. Under some moderate conditions, we derive Holder outer semicontinuity and continuity of the solution set against the variation of the probability measure and the parameter. The stability results are applied to a mathematical program with stochastic semidefinite constraints and a mathematical program with SQVIP constraints.
发表时间:2017-09-01