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http://hdl.handle.net/10397/91238
| Title: | Convergence analysis of sample average approximation of two-stage stochastic generalized equations | Authors: | Chen, XJ Shapiro, A Sun, HL |
Issue Date: | 2019 | Source: | SIAM journal on optimization, 2019, v. 29, no. 1, p. 135-161 | Abstract: | A solution of two-stage stochastic generalized equations is a pair: a first stage solution which is independent of realization of the random data and a second stage solution which is a function of random variables. This paper studies convergence of the sample average approximation of two-stage stochastic nonlinear generalized equations. In particular, an exponential rate of the convergence is shown by using the perturbed partial linearization of functions. Moreover, sufficient conditions for the existence, uniqueness, continuity, and regularity of solutions of two-stage stochastic generalized equations are presented under an assumption of monotonicity of the involved functions. These theoretical results are given without assuming relatively complete recourse and are illustrated by two-stage stochastic noncooperative games of two players. | Keywords: | Two-stage stochastic generalized equations Sample average approximation Convergence Exponential rate Monotone multifunctions |
Publisher: | Society for Industrial and Applied Mathematics | Journal: | SIAM journal on optimization | ISSN: | 1052-6234 | EISSN: | 1095-7189 | DOI: | 10.1137/17M1162822 | Rights: | © 2019 Society for Industrial and Applied Mathematics Posted with permission of the publisher. The following publication Chen, X., Shapiro, A., & Sun, H. (2019). Convergence analysis of sample average approximation of two-stage stochastic generalized equations. SIAM Journal on Optimization, 29(1), 135-161 is available at https://dx.doi.org/10.1137/17M1162822 |
| Appears in Collections: | Journal/Magazine Article |
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| 17m1162822.pdf | 601.04 kB | Adobe PDF | View/Open |
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