On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints. I: Theory (Q965053)

For stochastic mathematical programs with equilibrium constraints (SMPEC) stability with respect to changes in the underlying probability distribution is studied under the assumption that there exists at least one optimal solution of the unperturbed problem. If the SMPEC reduces to a nonlinear stochastic program, additional stability results support the development of the sample average approximation scheme for numerical solution of SMPEC and they can be extended to SMPEC with CVaR objective and to multiobjective convex SMPECs. For applications see the accompanying paper [\textit{C. Cromvik} and \textit{M. Patriksson}, J. Optim. Theory Appl. 144, No. 3, 479--500 (2010; Zbl 1201.90140)].