On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints, Part 1: Theory
Journal article, 2010

We consider a stochastic mathematical program with equilibrium constraints (SMPEC) and show that, under certain assumptions, global optima and stationary solutions are robust with respect to changes in the underlying probability distribution. In particular, the discretization scheme sample average approximation (SAA), which is convergent for both global optima and stationary solutions, can be combined with the robustness results to motivate the use of SMPECs in practice. We then study two new and natural extensions of the SMPEC model. First, we establish the robustness of global optima and stationary solutions to an SMPEC model where the upper-level objective is the risk measure known as conditional value-at-risk (CVaR). Second, we analyze a multiobjective SMPEC model, establishing the robustness of weakly Pareto optimal and weakly Pareto stationary solutions. In the accompanying paper (Cromvik and Patriksson, Part 2, J. Optim. Theory Appl., 2010, to appear) we present applications of these results to robust traffic network design and robust intensity modulated radiation therapy. © Springer Science+Business Media, LLC 2009.

Solution stability and robustness

Sample average approximation

Weak Pareto optimality

Stochastic mathematical program with equilibrium constraints

Author

Michael Patriksson

Chalmers, Mathematical Sciences, Mathematics

University of Gothenburg

Christoffer Cromvik

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematics

Journal of Optimization Theory and Applications

0022-3239 (ISSN) 1573-2878 (eISSN)

Vol. 144 3 461-478

Subject Categories

Computational Mathematics

DOI

10.1007/s10957-009-9639-8

More information

Created

10/7/2017