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doi: 10.3934/jimo.2021083
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Quantitative stability of the ERM formulation for a class of stochastic linear variational inequalities

College of Mathematics and Statistics, Chongqing University, Chongqing 401331, China

* Corresponding author: Shengjie Li

Received  November 2020 Revised  March 2021 Early access April 2021

This paper focuses on the quantitative stability analysis of the expected residual minimization (ERM) formulation for a class of stochastic linear variational inequalities. Firstly, the existence of solutions of the ERM formulation and its perturbed problem is discussed. Then, the quantitative stability of the ERM formulation is derived under suitable probability metrics. Finally, the sample average approximation (SAA) problem of the ERM formulation is studied, and the rates of convergence of optimal solution sets are obtained under different assumptions.

Citation: Jianxun Liu, Shengjie Li, Yingrang Xu. Quantitative stability of the ERM formulation for a class of stochastic linear variational inequalities. Journal of Industrial & Management Optimization, doi: 10.3934/jimo.2021083
References:
[1]

R. P. AgdeppaN. Yamashita and M. Fukushima, Convex expected residual models for stochastic affine variational inequality problems and its application to the traffic equilibrium problem, Pac. J. Optim., 6 (2010), 3-19.   Google Scholar

[2]

X. Chen and M. Fukushima, Expected residual minimization method for stochastic linear complementarity problems, Math. Oper. Res., 30 (2005), 1022-1038.  doi: 10.1287/moor.1050.0160.  Google Scholar

[3]

X. ChenR. J.-B. Wets and Y. Zhang, Stochastic variational inequalities: Residual minimization smoothing sample average approximations, SIAM J. Optim., 22 (2012), 649-673.  doi: 10.1137/110825248.  Google Scholar

[4]

F. Facchinei and J. -S. Pang, Finite-Dimensional Variational Inequalities and Complementarity Problems, Springer, New York, 2003.  Google Scholar

[5]

H. FangX. Chen and M. Fukushima, Stochastic $R_{0}$ matrix linear complementarity problems, SIAM J. Optim., 18 (2007), 482-506.  doi: 10.1137/050630805.  Google Scholar

[6]

J. Jiang and Z. Chen, Quantitative stability of multistage stochastic programs via calm modifications, Oper. Res. Lett., 46 (2018), 543-547.  doi: 10.1016/j.orl.2018.08.007.  Google Scholar

[7]

J. Jiang and Z. Chen, Quantitative stability analysis of two-stage stochastic linear programs with full random recourse, Numer. Func. Anal. Optim., 40 (2019), 1847-1876.  doi: 10.1080/01630563.2019.1639729.  Google Scholar

[8]

J. JiangX. Chen and Z. Chen, Quantitative analysis for a class of two-stage stochastic linear variational inequality problems, Comput. Optim. Appl., 76 (2020), 431-460.  doi: 10.1007/s10589-020-00185-z.  Google Scholar

[9]

J. Jiang, Z. Chen and X. M. Yang, Rates of convergence of sample average approximation under heavy tailed distributions, To preprint on Optimization Online. Google Scholar

[10]

Z. Lin and Z. Bai, Probability Inequalities, Springer Science & Business Media, 2011. doi: 10.1007/978-3-642-05261-3.  Google Scholar

[11]

J. Liu and S. Li, Unconstrained optimization reformulation for stochastic nonlinear complementarity problems, Appl. Anal., (2019). doi: 10.1080/00036811.2019.1636969.  Google Scholar

[12]

F. Lu and S.-J. Li, Method of weighted expected residual for solving stochastic variational inequality problems, Appl. Math. Comput., 269 (2015), 651-663.  doi: 10.1016/j.amc.2015.07.115.  Google Scholar

[13]

M. J. Luo and G. H. Lin, Expected residual minimization method for stochastic variation inequality problems, J. Optim. Theory Appl., 140 (2009), 103-116.  doi: 10.1007/s10957-008-9439-6.  Google Scholar

[14]

M. J. Luo and G. H. Lin, Convergence results of the ERM method for nonlinear stochastic variation inequality problems, J. Optim. Theory. Appl., 142 (2009), 569-581.  doi: 10.1007/s10957-009-9534-3.  Google Scholar

[15]

L. Mirsky, Symmetric gauge functions and unitarily invariant norms, Quart J. Math. Oxford, 11 (1960), 50-59.  doi: 10.1093/qmath/11.1.50.  Google Scholar

[16]

S. T. Rachev, L. B. Klebanov, S. V. Stoyanov and F. J. Fobozzi, The Methods of Distances in the Theory of Probility and Statistics, Springer, New York, 2013. doi: 10.1007/978-1-4614-4869-3.  Google Scholar

[17]

S. T. Rachev and W. Römisch, Quantitative stability in stochastic programming: The method of probability metrics, Math. Oper. Res., 27 (2002), 792-818.  doi: 10.1287/moor.27.4.792.304.  Google Scholar

[18]

W. Römisch, Stability of stochastic programming problems, Stochastic programming, 10 (2003), 483-554.  doi: 10.1016/S0927-0507(03)10008-4.  Google Scholar

[19]

A. Shapiro, D. Dentcheva and A. Ruszczyński, Lectures on Stochastic Programming: Modeling and Theory, SIAM, Philadelphia, 2014. doi: 10.1137/1.9780898718751.  Google Scholar

[20]

A. Shapiro and H. Xu, Stochastic mathematical programs with with equilibrium constraints, modelling and sample average approximation, Optimization, 57 (2008), 395-418.  doi: 10.1080/02331930801954177.  Google Scholar

[21]

H. Xu, Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming, J. Math. Anal. Appl., 368 (2010), 692-710.  doi: 10.1016/j.jmaa.2010.03.021.  Google Scholar

[22]

H. Xu, Sample average approximation methods for a class of stochastic variational inequality problems, Asia-Pac. J. Oper. Res., 27 (2010), 103-119.  doi: 10.1142/S0217595910002569.  Google Scholar

[23]

Y. Zhang and X. Chen, Regularizations for stochastic linear variational inequalities, J. Optim. Theory Appl., 163 (2014), 460-481.  doi: 10.1007/s10957-013-0514-2.  Google Scholar

[24]

Y. ZhaoJ. ZhangX. Yang and G.-H. Lin, Expected residual minimization formulation for a class of stochastic vector variational inequalities, J. Optim. Theory Appl., 175 (2017), 545-566.  doi: 10.1007/s10957-016-0939-5.  Google Scholar

show all references

References:
[1]

R. P. AgdeppaN. Yamashita and M. Fukushima, Convex expected residual models for stochastic affine variational inequality problems and its application to the traffic equilibrium problem, Pac. J. Optim., 6 (2010), 3-19.   Google Scholar

[2]

X. Chen and M. Fukushima, Expected residual minimization method for stochastic linear complementarity problems, Math. Oper. Res., 30 (2005), 1022-1038.  doi: 10.1287/moor.1050.0160.  Google Scholar

[3]

X. ChenR. J.-B. Wets and Y. Zhang, Stochastic variational inequalities: Residual minimization smoothing sample average approximations, SIAM J. Optim., 22 (2012), 649-673.  doi: 10.1137/110825248.  Google Scholar

[4]

F. Facchinei and J. -S. Pang, Finite-Dimensional Variational Inequalities and Complementarity Problems, Springer, New York, 2003.  Google Scholar

[5]

H. FangX. Chen and M. Fukushima, Stochastic $R_{0}$ matrix linear complementarity problems, SIAM J. Optim., 18 (2007), 482-506.  doi: 10.1137/050630805.  Google Scholar

[6]

J. Jiang and Z. Chen, Quantitative stability of multistage stochastic programs via calm modifications, Oper. Res. Lett., 46 (2018), 543-547.  doi: 10.1016/j.orl.2018.08.007.  Google Scholar

[7]

J. Jiang and Z. Chen, Quantitative stability analysis of two-stage stochastic linear programs with full random recourse, Numer. Func. Anal. Optim., 40 (2019), 1847-1876.  doi: 10.1080/01630563.2019.1639729.  Google Scholar

[8]

J. JiangX. Chen and Z. Chen, Quantitative analysis for a class of two-stage stochastic linear variational inequality problems, Comput. Optim. Appl., 76 (2020), 431-460.  doi: 10.1007/s10589-020-00185-z.  Google Scholar

[9]

J. Jiang, Z. Chen and X. M. Yang, Rates of convergence of sample average approximation under heavy tailed distributions, To preprint on Optimization Online. Google Scholar

[10]

Z. Lin and Z. Bai, Probability Inequalities, Springer Science & Business Media, 2011. doi: 10.1007/978-3-642-05261-3.  Google Scholar

[11]

J. Liu and S. Li, Unconstrained optimization reformulation for stochastic nonlinear complementarity problems, Appl. Anal., (2019). doi: 10.1080/00036811.2019.1636969.  Google Scholar

[12]

F. Lu and S.-J. Li, Method of weighted expected residual for solving stochastic variational inequality problems, Appl. Math. Comput., 269 (2015), 651-663.  doi: 10.1016/j.amc.2015.07.115.  Google Scholar

[13]

M. J. Luo and G. H. Lin, Expected residual minimization method for stochastic variation inequality problems, J. Optim. Theory Appl., 140 (2009), 103-116.  doi: 10.1007/s10957-008-9439-6.  Google Scholar

[14]

M. J. Luo and G. H. Lin, Convergence results of the ERM method for nonlinear stochastic variation inequality problems, J. Optim. Theory. Appl., 142 (2009), 569-581.  doi: 10.1007/s10957-009-9534-3.  Google Scholar

[15]

L. Mirsky, Symmetric gauge functions and unitarily invariant norms, Quart J. Math. Oxford, 11 (1960), 50-59.  doi: 10.1093/qmath/11.1.50.  Google Scholar

[16]

S. T. Rachev, L. B. Klebanov, S. V. Stoyanov and F. J. Fobozzi, The Methods of Distances in the Theory of Probility and Statistics, Springer, New York, 2013. doi: 10.1007/978-1-4614-4869-3.  Google Scholar

[17]

S. T. Rachev and W. Römisch, Quantitative stability in stochastic programming: The method of probability metrics, Math. Oper. Res., 27 (2002), 792-818.  doi: 10.1287/moor.27.4.792.304.  Google Scholar

[18]

W. Römisch, Stability of stochastic programming problems, Stochastic programming, 10 (2003), 483-554.  doi: 10.1016/S0927-0507(03)10008-4.  Google Scholar

[19]

A. Shapiro, D. Dentcheva and A. Ruszczyński, Lectures on Stochastic Programming: Modeling and Theory, SIAM, Philadelphia, 2014. doi: 10.1137/1.9780898718751.  Google Scholar

[20]

A. Shapiro and H. Xu, Stochastic mathematical programs with with equilibrium constraints, modelling and sample average approximation, Optimization, 57 (2008), 395-418.  doi: 10.1080/02331930801954177.  Google Scholar

[21]

H. Xu, Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming, J. Math. Anal. Appl., 368 (2010), 692-710.  doi: 10.1016/j.jmaa.2010.03.021.  Google Scholar

[22]

H. Xu, Sample average approximation methods for a class of stochastic variational inequality problems, Asia-Pac. J. Oper. Res., 27 (2010), 103-119.  doi: 10.1142/S0217595910002569.  Google Scholar

[23]

Y. Zhang and X. Chen, Regularizations for stochastic linear variational inequalities, J. Optim. Theory Appl., 163 (2014), 460-481.  doi: 10.1007/s10957-013-0514-2.  Google Scholar

[24]

Y. ZhaoJ. ZhangX. Yang and G.-H. Lin, Expected residual minimization formulation for a class of stochastic vector variational inequalities, J. Optim. Theory Appl., 175 (2017), 545-566.  doi: 10.1007/s10957-016-0939-5.  Google Scholar

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