Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/91238
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorChen, XJen_US
dc.creatorShapiro, Aen_US
dc.creatorSun, HLen_US
dc.date.accessioned2021-10-06T02:49:24Z-
dc.date.available2021-10-06T02:49:24Z-
dc.identifier.issn1052-6234en_US
dc.identifier.urihttp://hdl.handle.net/10397/91238-
dc.language.isoenen_US
dc.publisherSociety for Industrial and Applied Mathematicsen_US
dc.rights© 2019 Society for Industrial and Applied Mathematicsen_US
dc.rightsPosted with permission of the publisher.en_US
dc.rightsThe 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/10.1137/17M1162822en_US
dc.subjectTwo-stage stochastic generalized equationsen_US
dc.subjectSample average approximationen_US
dc.subjectConvergenceen_US
dc.subjectExponential rateen_US
dc.subjectMonotone multifunctionsen_US
dc.titleConvergence analysis of sample average approximation of two-stage stochastic generalized equationsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage135en_US
dc.identifier.epage161en_US
dc.identifier.volume29en_US
dc.identifier.issue1en_US
dc.identifier.doi10.1137/17M1162822en_US
dcterms.abstractA 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationSIAM journal on optimization, 2019, v. 29, no. 1, p. 135-161en_US
dcterms.isPartOfSIAM journal on optimizationen_US
dcterms.issued2019-
dc.identifier.isiWOS:000462593800006-
dc.identifier.eissn1095-7189en_US
dc.description.validate202110 bcwhen_US
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumbera0755-n10-
dc.identifier.SubFormID1521-
dc.description.fundingSourceRGCen_US
dc.description.fundingTextPolyU153016/16pen_US
dc.description.pubStatusPublisheden_US
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