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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… Click to show full abstract
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.
Journal Title: Journal of Industrial and Management Optimization
Year Published: 2021
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