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论文类型：期刊论文
发表时间：2017-09-01
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.