Statistical Inference of Second-Order Cone Programming

Liwei Zhang, Shengzhe Gao and Saoyan Guo ()
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Liwei Zhang: The School of Mathematical Sciences, Dalian University of Technology, Dalian 116024, P. R. China
Shengzhe Gao: The School of Mathematical Sciences, Dalian University of Technology, Dalian 116024, P. R. China2The School of Science, Dalian Ocean University, Dalian 116023, P. R. China
Saoyan Guo: The School of Mathematical Sciences, Dalian University of Technology, Dalian 116024, P. R. China

Asia-Pacific Journal of Operational Research (APJOR), 2019, vol. 36, issue 02, 1-17

Abstract: In this paper, we study the stability of stochastic second-order programming when the probability measure is perturbed. Under the Lipschitz continuity of the objective function and metric regularity of the feasible set-valued mapping, the outer semicontinuity of the optimal solution set and Lipschitz continuity of optimal values are demonstrated. Moreover, we prove that, if the constraint non-degeneracy condition and strong second-order sufficient condition hold at a local minimum point of the original problem, there exists a Lipschitz continuous solution path satisfying the Karush–Kuhn–Tucker conditions.

Keywords: Stochastic second-order programming; stability analysis; strong regularity; second order optimality conditions; constraint qualification (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S0217595919400037

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