Quantitative stability of two-stage stochastic linear variational inequality problems with fixed recourse

Abstract

ABSTRACT This paper focus on the quantitative stability of a class of two-stage stochastic linear variational inequality problems whose second stage problems are stochastic linear complementarity problems with fixed recourse matrix. Firstly, we discuss the existence of solutions to this two-stage stochastic problems and its perturbed problems. Then, by using the corresponding residual function, we derive the quantitative stability of this two-stage stochastic problem under Fortet-Mourier metric. Finally, we study the sample average approximation problem, and obtain the convergence of optimal solution sets under moderate assumptions.