Lipschitz continuity of expected value under decision-dependent uncertainty with moving support

Abstract

This paper addresses the problem of stochastic optimization with decision-dependent uncertainty, a class of problems where the probability distribution of the uncertain parameters is influenced by the decision-maker's actions. While recent literature primarily focuses on solving or analyzing these problems by directly imposing hypotheses on the distribution mapping, we explore in this work some of these properties for a specific construction by means of the moving support and a density function. The construction is motivated by the Bayesian approach to bilevel programming, where the response of a follower is modeled as the uncertainty, drawn from the moving set of optimal responses, which depends on the leader's decision. Our main contribution is to establish sufficient conditions for the Lipschitz continuity of the expected value function. We show that Lipschitz continuity can be achieved when the moving support is a Lipschitz continuous set-valued map with full-dimensional, convex, compact values, or when it is the solution set of a fully linear parametric problem. We also provide an example showing that the sole Lipschitz assumption on the moving set itself is not sufficient and that additional conditions are necessary.