Generalized Leibniz rules and Lipschitzian stability for expected-integral mappings

DOI10.1137/21M1392541MaRDI QIDQ5020853zbMATH OpenOpenAlexWikidataFDO

Authors Boris S. Mordukhovich, Pedro Pérez-Aros

Publication date 7 January 2022

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.06711

zbMATH Keywords

generalized differentiationintegral multifunctionsLiebniz rulesLipschitzian stabilitystochastic programming

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Stochastic programming (90C15) Semi-infinite programming (90C34)

Abstract: This paper is devoted to the study of the expected-integral multifunctions given in the form �egin{equation*} operatorname{E}_Phi(x):=int_TPhi_t(x)dmu, end{equation*} where $PhicolonTimesmathbb{R}^{n}ightrightarrowsmathbb{R}^m$ is a set-valued mapping on a measure space $(T,mathcalA,mu)$. Such multifunctions appear in applications to stochastic programming, which require developing efficient calculus rules of generalized differentiation. Major calculus rules are developed in this paper for coderivatives of multifunctions $operatorname{E}_{P}hi$ and second-order subdifferentials of the corresponding expected-integral functionals with applications to constraint systems arising in stochastic programming. The paper is self-contained with presenting in the preliminaries some needed results on sequential first-order subdifferential calculus of expected-integral functionals taken from the first paper of this series.

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Cited in

(6)

• Generalized sequential differential calculus for expected-integral functionals
• Sensitivity analysis of stochastic constraint and variational systems via generalized differentiation
• Integral functionals on nonseparable Banach spaces with applications
• Generalized Lipschitz-continuity of integrals with respect to a parameter of the intergrating probability measure
• Optimality conditions in DC-constrained mathematical programming problems
• Random multifunctions as set minimizers of infinitely many differentiable random functions

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