An Approximation Method for Variational Inequality with Uncertain Variables
Abstract
In this paper, a Stieltjes integral approximation method for uncertain variational inequality problem (UVIP) is studied. Firstly, uncertain variables are introduced on the basis of variational inequality. Since the uncertain variables are based on nonadditive measures, there is usually no density function. Secondly, the expected value model of UVIP is established after the expected value is discretized by the Stieltjes integral. Furthermore, a gap function is constructed to transform UVIP into an uncertain constraint optimization problem, and the optimal value of the constraint problem is proved to be the solution of UVIP. Finally, the convergence of solutions of the Stieltjes integral discretization approximation problem is proved.
1. Introduction
This problem is widely used in economics, management, and operations research. It was investigated in references such as [9–11]. Based on probability theory, the SVIP in literature [8] is studied. It is well known that probability is based on repeated tests, so it must have a large number of historical sample data to estimate probability. But in most conditions, it is hard to model a probability distribution due to the nonrepeatability of events, such as unprecedented sudden natural disasters, crisis management and emergency of acute infectious diseases, and so on. Liu [12] created uncertainty theory, which is based on nonadditive measure, to deal with these uncertain phenomena.
Based on uncertainty theory, an approximation problem on UVIP is studied in this paper. It is clear that SVIP and UVIP are both natural generalizations of deterministic variational inequalities. Other contents of this paper are as follows. The second section reviews the basic concepts and properties of some uncertainty theories, including uncertain variables and uncertain expectations. In Section 3, research on the convergence of the approximation problem generated by the Stieltjes integral discrete approximation method (SDA for short) will be finished. Finally, a conclusion summarizes and prospects the future research work.
2. Preliminaries
- (1)
- (2)
- (3)
, where Λ1, Λ2, ⋯ are sequence of events
Definition 1 (see [12].)Let ζ ∈ Ξ. If the following exists,
Theorem 2 (see [12].)Let ζ ∈ Ξ and Φ be the uncertainty distribution of ζ. If exists, then
Theorem 3 (see [12].)Let ζ ∈ Ξ and Φ be the uncertainty distribution of ζ. If exists,
3. SDA Method and Its Convergence
In this section, in order to solve problem (12), we will propose a Stieltjes integral discrete approximation method (abbreviated as SDA), and the convergence of the method is studied. In most cases, there is no density function in the uncertain distribution. Then, it is difficult to calculate the uncertain expectation directly, so we use the Stieltjes integral to calculate. The distribution function is discretized before that, and we introduced the following definitions.
Definition 4 (division of interval by the Stieltjes integral [24]). Let f(x) be a bounded function on the interval [a, b] and κ(x) be a bounded variation function on [a, b], and make a division of interval T : a = x0 < x1 < ⋯<xn = b and a group of “intermediate points,” xi−1 ≤ ξ ≤ xi(i = 1, 2, ⋯, n), and make a sum:
Set . When δ(T)⟶0, the sum tends to a certain finite limit; then, f(x) is said to be R − S integrable about κ(x) on the interval [a, b]. This limit is recorded as .
Definition 5 (see [1].)Let G ∈ Rn×n be a symmetric positive definitive matrix and S be a convex subset of Rn. ΘS,G(u) is a solution set of the following optimization model:
Definition 6. In addition, we made the following assumptions in this section:
- (1)
S is a nonempty and compact set of Rn
- (2)
There exists a function φ(ζ) which is integrable and
(18)
Suppose that (1) and (2) hold, we call f(u, ζ) as ϕ-bounded function.
The following theorem will provide the uniform convergence of the approximate problem (12).
Theorem 7. Suppose that f(u, ζ) is ϕ-bounded function on S, ∀ζ ∈ Ξ, it is continuous with respect to u. Then, we have
- (a)
is finite and continuous
- (b)
uniformly converges to and
(19) - (c)
uniformly converges to and
(20)
Proof.
- (a)
Since f(u, ζ) is continuous on S, ∀ε > 0, and ∃δ > 0, when |u − u0| < δ, it holds
(21)
Then, we have
Since ϕ(ζ) is integrable, we have ∫ϕ(t)dΦ(t) which is finite. Therefore, (a) is hold.
- (b)
From equation (15), it can be seen that
(24)and it means that ∀ε > 0, ∃N0 > 0, when N > N0; it holds(25)
From the fact that u is arbitrary, so
From the fact that ε is arbitrary, uniformly converges to , that is,
- (c)
It follows from Li et al. [25] that the problem is essentially equal to the problem . So it is easy to have that ∀u ∈ Rn, ∀ζ ∈ Ξ, and
(28)where(29)(30)(31)
Let be a function defined by (11). ∀u ∈ S, ζ ∈ Ξ, and iff u is a solution of FVIP (f, S). Therefore, u is a solution of (16) iff it solves (10), so
Since , we have
Denote the smallest eigenvalue of G by λmin. Note that
Further, we can conclude that
On account that S is nonempty and compact, so ∃K > 0, it holds
Furthermore, we can conclude
Moreover, from the nonexpansive property of the projection operator, it holds
Then, we can get
From (a) and (b), uniformly converges to . So ∀δ > 0, when N > N0, ∃N0 such that
From and , , , and , we can get
That is, uniformly converges to .
Since the condition of uniform convergence is strong, there will be inevitable mistakes in the calculation process. Here, we weaken the condition of the function and then prove it.
Definition 8 (see [26].)Let be a sequence and the function f be lower semicontinuous. {fn} epiconverges to f:
- (i)
, there holds , ∀u
- (ii)
, there holds ,∀v
Lemma 9. Assume that f(u, ζ) is ϕ-bounded function and function of the sequence epiconverges to the function . Then, approaches to .
Proof. To prove approaches to , we will prove the following:
- (a)
, ∀δ > 0, ∃N∗ > 0, N > N∗, then
(43) - (b)
, ∀δ > 0, ∃N∗ > 0, N > N∗, then
(44)
Firstly, we prove (a). Recall that
By [27] and (29), we can get that is the unique optimal solution of ; and is the only optimal solution of . So we have
Because epiconverges to the function if for any u, . So for any , that is,
Then,
From , so for any ε > 0, ∃N1 > 0, N > N1, we have
By uN ∈ S, v ∈ S, γ > 0, so are finite, and is finite; then, approaches . And is the only optimal solution to ; and is the only optimal solution to . So approaches to ; that is, for any δ > 0, ∃N3 ∈ max{N0, N1}, N > N3, we have
Next, we prove (b). Because epiconverges to the function if , such that , that is,
That means that there exists a sequence {vN} converging to v, and it holds
From (a) and (b), we can get that approaches to , so the proof is completed.
Theorem 10. Assume that f(u, ζ) is ϕ-bounded function and every function of the sequence epiconverges to the function . Then, epiconverge to .
Proof. To prove epiconverge to , we will prove the following:
- (I)
If for any u, , then
- (II)
First of all, we prove (I). Because for any u, epiconverges to the function , , there holds , that is,
From
We then obtain
From {uN} converging to u, so for any ε2 > 0, ∃N1 > 0, N > N1, we have
By (51) in Lemma 9 and (56), that is, for any ε3 > 0, ∃N3 ∈ max{N0, N1}, N > N3, we have . We can get
Obviously, uN ∈ S, is the the unique optimal solution of problem ; and is the the unique optimal solution of problem , so is finite. That is, for any ε > 0, ∃N2 > 0, N > N2 > N1, we have
Furthermore, we prove (II). From
Because epiconverges to the function , , such that , that is,
We then obtain that there exists a sequence {vN} converging to v; it holds
By {vN} converging to v, so for any ε > 0, ∃N1 > 0, N > N1, we have
And since , we have
Note that
Because S is a compact and nonempty set on Rn, then ∃M > 0; it holds
Furthermore, it is not difficult to show that
From (63), vN − v ≤ ε2, by (53) in Lemma 9; that is, for any ε3 > 0, ∃N3 ∈ max{N0, N1}, N > N3, we have . , and and ; we have
It means that there exists a sequence {vN} that converges to v, so that
Theorem 11. Suppose that f(u, ζ) is ϕ-bounded function, and epiconverge to . Then, we have
Proof. Note that, by f(u, ζ) is ϕ-bounded function, for every N, and are both finite. So, in order to prove , we can prove the following:
- (a)
- (b)
We first prove (a). Let ∀ε > 0. ∃uε ∈ S s.t.
From Theorem 10, we have ; it means that ∃uN, s.t. ; there holds . Therefore, we have
By the arbitrariness of ε, we have that
Next, we prove (b). ∀ε > 0,∃{uN} ⊂ S s.t.
Then, s.t. such that
Therefore, we have that
Since, by Theorem 10, the sequence epiconverges to , that is, for every sequence {uN} converging to u, we have
Then,
Because ε is arbitrary, we have
Theorem 12. Suppose that epiconverge to . Suppose that function f(u, ζ) is uniformly monotone with respect to u, there exists a function Ψ(u) which is nonnegative integrable, ∀u, v ∈ Rn, ∀N > 0,
Proof. From
and are the optimal solution sets of (11) and (16). Let , . By Theorem 11, we have . And from the assumptions, it shows that is uniformly monotone and . So we have
, so . By the arbitrariness of u, v, we have
So, u = v means the uniqueness of the solution to problem (10), denoted by u†. It is not difficult to show that u† is also the unique solution of (12). Therefore, u† is a unique cluster point of the bounded sequence {uN}.
4. Conclusions
In this paper, we studied the SDA method for solving the UVIP. By constructing the gap function (11), the uncertain variational inequality problem is transformed into an optimization problem (12). Then, we propose the SDA method to solve it. Also, we research the convergence of the optimization problem. Finally, the correctness of the SDA method is proved; that is, the solution of the approximation problem (16) obtained by the SDA method converges to the solution of the original uncertain variational inequality (10).
In this paper, we have done some work on the Stieltjes integral discrete approximation of uncertain variational inequalities and obtained the related theoretical results, which have good theoretical and practical significance. Future studies are as follows: we can consider the displacement gap function to establish the correlation model; and we can consider to apply this method to the solution of uncertain complementary functions.
Conflicts of Interest
The authors declare that they have no conflicts of interest.
Authors’ Contributions
All authors contributed equally and significantly in writing this article. All authors read and approved the final manuscript.
Acknowledgments
This work was supported in part by the Natural Science Foundation of Ningxia (no. 2020AAC03242), Major Projects of North Minzu University (no. ZDZX201805), Governance and Social Management Research Center of Northwest Ethnic regions, National Natural Science Foundation of China (no. 71561001), and First-Class Disciplines Foundation of Ningxia (Grant No. NXYLXK2017B09).