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Uncertainty
Quantification in
Variational Inequalities
Uncertainty
Quantification in
Theory, Numerics, and
Applications
Joachim Gwinner
University of the Federal Army Munich, Germany
Baasansuren Jadamba
Rochester Institute of Technology, USA
Akhtar A. Khan
Rochester Institute of Technology, USA
Fabio Raciti
University of Catania, Italy
First edition published 2022
by CRC Press
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and by CRC Press
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© 2022 Taylor & Francis Group, LLC
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Library of Congress Cataloging‑in‑Publication Data
Names: Gwinner, Joachim, author. | Jadamba, Baasansuren, author. | Khan,

Akhtar A., author. | Raciti, Fabio, author.
Title: Uncertainty quantification in variational inequalities : theory,
numerics, and applications / Joachim Gwinner, University of the Federal
Army Munich, Germany, Baasansuren Jadamba, Rochester Institute of
Technology, USA, Akhtar A. Khan, Rochester Institute of Technology, USA,
Fabio Raciti, University of Catania, Italy.
Description: First edition. | Boca Raton : Chapman & Hall/CRC Press, 2022.
| Includes bibliographical references and index.
Identifiers: LCCN 2021028860 (print) | LCCN 2021028861 (ebook) | ISBN
9781138626324 (hardback) | ISBN 9781032148496 (paperback) | ISBN
9781315228969 (ebook)
Subjects: LCSH: Measurement uncertainty (Statistics) | Variational
inequalities (Mathematics) | Research--Methodology.
Classification: LCC QA276.8 .G85 2022 (print) | LCC QA276.8 (ebook) | DDC
003/.54--dc23
LC record available at https://lccn.loc.gov/2021028860
LC ebook record available at https://lccn.loc.gov/2021028861
ISBN: 978-1-138-62632-4 (hbk)

ISBN: 978-1-032-14849-6 (pbk)
ISBN: 978-1-315-22896-9 (ebk)
DOI: 10.1201/9781315228969
Publisher’s note: This book has been prepared from camera-ready copy provided by the authors.
Typeset in Nimbus Roman
by KnowledgeWorks Global Ltd.
To
Franco Giannessi
On the occasion of his 85th birthday
Contents
List of Figures xi
List of Tables xiii
Symbol Description xv
Preface xvii
I Variational Inequalities 1
1 Preliminaries 3
1.1 Elements of Functional Analysis . . . . . . . . . . . . . . . . . . . 3

1.2 Fundamentals of Measure Theory and Integration . . . . . . . . . . 9
1.3 Essentials of Operator Theory . . . . . . . . . . . . . . . . . . . . 15
1.4 An Overview of Convex Analysis and Optimization . . . . . . . . 20
1.5 Comments and Bibliographical Notes . . . . . . . . . . . . . . . . 25
2 Probability 27
2.1 Probability Measure . . . . . . . . . . . . . . . . . . . . . . . . . 27

2.2 Conditional Probability and Independence . . . . . . . . . . . . . . 29
2.3 Random Variables and Expectation . . . . . . . . . . . . . . . . . 30
2.4 Correlation, Independence, and Conditional Expectation . . . . . . 33
2.5 Modes of Convergence of Random Variables . . . . . . . . . . . . 36
3 Projections on Convex Sets 39
3.1 Projections on Convex Sets in Hilbert Spaces . . . . . . . . . . . . 40

3.2 Projections on Convex Sets in Banach Spaces . . . . . . . . . . . . 52
3.2.1 Metric Projection . . . . . . . . . . . . . . . . . . . . . . . 52
3.2.2 Generalized Projection . . . . . . . . . . . . . . . . . . . . 53
vii
viii Contents
4 Variational and Quasi-Variational Inequalities 57
4.1 Illustrative Examples . . . . . . . . . . . . . . . . . . . . . . . . . 58

4.2 Linear Variational Inequalities . . . . . . . . . . . . . . . . . . . . 60
4.2.1 Some Basic Results . . . . . . . . . . . . . . . . . . . . . . 60
4.2.2 Regularization for Linear Variational Inequalities . . . . . . 66
4.2.3 Recession Approach for Linear Variational Inequalities . . . 69
4.3 Nonlinear Variational Inequalities . . . . . . . . . . . . . . . . . . 72
4.3.1 Existence Results and Stability of Solutions . . . . . . . . . 72
4.3.2 Variational Inequalities with Monotone-Type Maps . . . . . 78
4.3.3 Some Geometric and Hypercircle Estimates . . . . . . . . . 84
4.3.4 Regularization and Convergence Rates . . . . . . . . . . . . 88
4.4 Quasi-Variational Inequalities . . . . . . . . . . . . . . . . . . . . 99
5 Numerical Methods for Variational and Quasi-Variational Inequalities 107
5.1 Projection Methods . . . . . . . . . . . . . . . . . . . . . . . . . . 108

5.1.1 Projection Methods with a Constant Step-Length . . . . . . 108
5.1.2 Projection Methods with a Variable Step-Length . . . . . . 111
5.1.3 A Projection Method with Hypercircle Error Bounds . . . . 122
5.2 Extragradient Methods . . . . . . . . . . . . . . . . . . . . . . . . 126
5.2.1 The Extragradient Method of Korpelevich and Its Variants . 126
5.2.2 Hyperplane Extragradient Methods . . . . . . . . . . . . . 131
5.2.3 Subgradient Extragradient Methods . . . . . . . . . . . . . 132
5.2.4 Projected Reflected Gradient Method . . . . . . . . . . . . 134
5.3 Gap Functions and Descent Methods . . . . . . . . . . . . . . . . 139
5.3.1 Auchmuty’s Gap Functions . . . . . . . . . . . . . . . . . 139
5.3.2 The Regularized Gap Function . . . . . . . . . . . . . . . . 142
5.3.3 The D-Gap Function . . . . . . . . . . . . . . . . . . . . . 148
5.4 The Auxiliary Problem Principle . . . . . . . . . . . . . . . . . . . 151
5.5 Relaxation Method for Variational Inequalities . . . . . . . . . . . 155
5.6 Projection Methods for Quasi-Variational Inequalities . . . . . . . 160
5.7 Convergence of Recursive Sequences . . . . . . . . . . . . . . . . 167
II Uncertainty Quantification 173

Prologue on Uncertainty Quantification 175
6 An Lp -Approach for Variational Inequalities with Uncertain Data 177
6.1 Linear Variational Inequalities with Random Data . . . . . . . . . 177

6.1.1 A Probabilistic Approximation Scheme . . . . . . . . . . . 183
6.1.2 An Illustrative Example . . . . . . . . . . . . . . . . . . . 191
6.2 Nonlinear Variational Inequalities with Random Data . . . . . . . . 194
Contents ix

6.3 Regularization of Variational Inequalities with Random Data . . . . 199
6.4 Variational Inequalities with Mean-Value Constraints . . . . . . . . 203
7 Expected Residual Minimization (ERM) 213
7.1 ERM for Linear Complementarity Problems . . . . . . . . . . . . 213

7.2 ERM for Nonlinear Complementarity Problems . . . . . . . . . . . 222
7.3 ERM for Variational Inequalities . . . . . . . . . . . . . . . . . . . 224
8 Stochastic Approximation Approach 233
8.1 Stochastic Approximation. An Overview . . . . . . . . . . . . . . 233

8.2 Gradient and Subgradient Stochastic Approximation . . . . . . . . 235
8.3 Stochastic Approximation for Variational Inequalities . . . . . . . . 245
8.4 Stochastic Iterative Regularization . . . . . . . . . . . . . . . . . . 251
8.5 Stochastic Extragradient Method . . . . . . . . . . . . . . . . . . . 258
8.6 Incremental Projection Method . . . . . . . . . . . . . . . . . . . 268
III Applications 277

9 Uncertainty Quantification in Electric Power Markets 279
9.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 279

9.2 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280
9.2.1 Equilibrium Conditions for the Consumers . . . . . . . . . 281
9.2.2 Equilibrium Conditions for the Power Suppliers . . . . . . 281
9.2.3 Equilibrium Conditions for the Power Generators . . . . . . 282
9.3 Complete Supply Chain Equilibrium Conditions . . . . . . . . . . 283
9.4 Numerical Experiments . . . . . . . . . . . . . . . . . . . . . . . 289
10 Uncertainty Quantification in Migration Models 293
10.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293

10.2 A Simple Model of Population Distributions . . . . . . . . . . . . 294
10.3 A More Refined Model . . . . . . . . . . . . . . . . . . . . . . . . 297
10.4 Numerical Examples . . . . . . . . . . . . . . . . . . . . . . . . . 301
x Contents
11 Uncertainty Quantification in Nash Equilibrium Problems 307
11.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307

11.2 Stochastic Nash Games and Variational Inequalities . . . . . . . . . 308
11.3 The Stochastic Oligopoly Model . . . . . . . . . . . . . . . . . . . 311
11.4 Uncertainty Quantification in Utility Functions . . . . . . . . . . . 313
11.4.1 Linear-Quadratic Utility Functions . . . . . . . . . . . . . . 313
11.4.2 Nonlinear Utility Functions . . . . . . . . . . . . . . . . . 315
11.4.3 Pointwise versus Mean-Value Constraints . . . . . . . . . . 318
12 Uncertainty Quantification in Traffic Equilibrium Problems 321
12.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321

12.2 Traffic Equilibrium Problems via Variational Inequalities . . . . . . 322
12.3 Uncertain Traffic Equilibrium Problems . . . . . . . . . . . . . . . 327
12.4 Computational Results . . . . . . . . . . . . . . . . . . . . . . . . 329
12.5 A Comparative Study of Various Approaches . . . . . . . . . . . . 338
Epilogue 345
Bibliography 347
Index 385
List of Figures
1.1 Unit balls B̄1 , B̄2 , B̄∞ in R2 in k · kp norm, where p = 1, 2, ∞. . 8
3.1 Geometric characterization of the projection map. . . . . . . . . . 41
9.1 The electric power supply chain. . . . . . . . . . . . . . . . . . . 280
12.1 Network of Example 12.4.1. . . . . . . . . . . . . . . . . . . . . 329

12.2 Dafermos’ network . . . . . . . . . . . . . . . . . . . . . . . . . 335
12.3 Domain of (ω1 , ω2 ). . . . . . . . . . . . . . . . . . . . . . . . . . 337
12.4 12 nodes network. . . . . . . . . . . . . . . . . . . . . . . . . . . 339
xi
List of Tables
9.1 Mean values of the approximated solution for varying N d . . . . . 290

9.2 Standard deviations of the approximated solution for varying N d . . 291
10.1 Mean value of of p = (p1 , p2 , p3 ). . . . . . . . . . . . . . . . . . 303
11.1 Mean value of q = (q1 , q2 , q3 ). . . . . . . . . . . . . . . . . . . . 314

11.2 Parameter values. . . . . . . . . . . . . . . . . . . . . . . . . . . 315
11.3 Mean values of ui , i = 1, . . . , 5. . . . . . . . . . . . . . . . . . . 318
11.4 Pointwise Constraints. . . . . . . . . . . . . . . . . . . . . . . . . 319
11.5 Mean-Value Constraints. . . . . . . . . . . . . . . . . . . . . . . 319
12.1 Route flows solutions from [8] for different parameter α. . . . . . 332
12.2 Link flows solutions from [8]. . . . . . . . . . . . . . . . . . . . . 333
12.3 Mean values E[H] of the route flows. . . . . . . . . . . . . . . . . 333
12.4 Mean values E[h] of the link flows. . . . . . . . . . . . . . . . . . 333
12.5 Variances V[H] of the route flows. . . . . . . . . . . . . . . . . . 334
12.6 Variances V[h] of the link flows. . . . . . . . . . . . . . . . . . . 334
12.7 Mean value E[H] of the route flows. . . . . . . . . . . . . . . . . 338
12.8 Variance V[H] of the route flows. . . . . . . . . . . . . . . . . . . 338
12.9 Path flows calculated with the different approaches. . . . . . . . . 341
12.10 Nodes and arcs of all used paths. . . . . . . . . . . . . . . . . . . 341
12.11 Comparison for the different approaches. . . . . . . . . . . . . . . 342
xiii
Symbol Description
→ strong convergence L(X, Y ) the collection of all

* weak convergence bounded linear maps
k · kX a norm on a normed space from X to Y
X (X, F, µ) measure space
h·, ·i inner product or a Lp (Ω) Lebesgue integrable func-
pairing tions for p > 0
k · k∗ a norm on the dual space L∞ (Ω) space of essentially
Z+ non-negative integers bounded functions
R real numbers Lp (X, Y ) the set of F-measurable
C complex numbers functions f : X 7→ Y
N non-negative integers with kf kLp (X,Y ) < ∞
Rn the n-dimensional Eu- D(F ) domain of a map F
clidean space R(F ) range of a map F
Cn the n-dimensional unitary G(F ) graph of a map F
space C, K convex set, convex cone
`∞ the sequence space of all epi(f ) epigraph of f
bounded sequences f∗ conjugate function of f
`p the sequence space with f ∗∗ biconjugate of f
p≥1 IK indicator function of K
C[a, b] all real-valued continuous ∂f (u) subdifferential of f at u
functions on [a, b] NK (u) normal cone of K at u
X, Y, Z linear/vector spaces DF (u) derivative of F at u
(r, s) open interval between J duality map
numbers r, s ∈ R (Ω, A, P) probability space
[r, s] closed interval between P(A|B) conditional probability of
numbers r, s ∈ R A, given B
B̊X open unit ball in X PX probability distribution of
B̄r (ū) the closed ball centered at X
ū with radius r FX cumulative distribution
Br (ū) the open ball centered at ū function of X
with radius r pX probability density func-
Sr (ū) the sphere centered at ū tion of X
with radius r E[X] expectation of X
d(x, y) a metric on a nonempty V[X]p variance of X
set X σ := V[X] standard deviation of X
xv
xvi Symbol Description
Lp (Ω, F, H) space of H-valued F- B Borel sigma algebra

measurable random vari- E [X|A] conditional expectation
ables A, F sigma algebras
Preface
Uncertainty Quantification is an emerging and active research discipline that aims

to quantify any uncertainty in applied models. This book presents a comprehen-
sive treatment of uncertainty quantification in variational inequalities with uncertain
data emerging from various network, economic, and engineering models. In the last
several decades, the theory of variational inequalities emerged as one of the most
promising branches of pure, applied, and industrial mathematics. This theory pro-
vides us with an efficient mathematical apparatus for studying a wide range of prob-
lems arising in diverse fields such as mechanics, elasticity, economics, optimization,
finance, and others. However, the vast majority of studies on variational inequalities
have focused on deterministic models. Since in real-world applications, the data are
often impacted by uncertainty, their variational inequality formulations must con-
sider this stochasticity. Consequently, it is now a well-accepted fact that the role of
uncertainty cannot be overlooked in models that rely on data.
This book, which is the first systematic and comprehensive treatment of vari-
ational inequalities with random data, presents some of the commonly used tech-
niques for uncertainty quantification and applications to applied models. Aiming for
a diverse audience, including applied mathematicians, engineers, economists, and
professionals from academia, we present the material in a self-contained and lucid
style. The given results include the most recent developments on the subject, most of
which so far have only been available in the research literature.
We organize the material of this book into three parts as follows:
Part One: Preliminaries and Variational Inqualities. This part contains five chap-
ters. Chapter 1 gives the background material to make this book self-contained. We
collect the concepts and the results that we will use throughout the book. Chapter 2
presents the essential preliminaries on probability. Chapter 3 is devoted to the study
of projection maps in Hilbert and Banach spaces. Chapter 4 gives an introduction
to the theory of variational inequalities and quasi-variational inequalities. Chapter 5
provides an overview of the most commonly used numerical methods for variational
and quasi-variational inequalities.
Part Two: Variational Inequalities with Random Data. This part, which contains
three chapters, provides the main results on uncertain variational problems. Chapter 6
conducts a detailed study of the Lp -approach for uncertainty quantification in varia-
tional inequalities. Chapter 7 presents the expected residual minimization method for
variational inequalities and complementarity problems. Chapter 8 studies stochastic
approximation methods for variational inequalities and complementarity problems.
xvii
xviii Preface
Part Three: Applications. In this part, which contains four chapters, we present
applications of the developed theory. Chapter 9 is devoted to the study of uncertain
electricity markets. Chapter 10 presents stochastic migration models. Chapter 11
incorporates uncertainty in Nash equilibrium problems and relates it to variational
inequalities. Chapter 12 treats variational inequalities encountered in traffic equilib-
rium problems with random demand and random cost.
Acknowledgments. AAK is particularly indebted to the support and mentorship
bestowed on him by Franco Gianessi. We would also like to express our most
sincere gratitude to Johannes Jahn, Zuhair Nashed, Miguel Sama, and Christiane
Tammer, for their constant encouragement and unfailing support. We are grateful to
Jürgen Dippon for meticulously reading Chapter 8 and providing stimulating sugges-
tions. We are also thankful to Aviv Gibali, Themistocles M. Rassias, and Alexander
Zaslavski for suggesting some relevant references. AAK and BJ thank Dean Sophia
A. Maggelakis and the Chair Mary Lynn Reed for creating a conducive research en-
vironment at the School of Mathematical Sciences at RIT. They also express their
boundless love to Sophie and Amelie. Last but not least, JG thanks his wife, Han-
nelore, for all her understanding during the process of writing this book. As a final
note, the authors would like to convey their sincere appreciation to Callum Fraser,
Mansi Kabra, and Sarfraz Khan from the CRC Press for their help, support, and
unwavering patience over the long period of collaboration on this project.
Joachim Gwinner
Baasansuren Jadamba
Akhtar A. Khan
Fabio Raciti
May, 2021
Part I
1
Chapter 1
Preliminaries
1.1 Elements of Functional Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

1.2 Fundamentals of Measure Theory and Integration . . . . . . . . . . . . . . . . . . . 9
1.3 Essentials of Operator Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.4 An Overview of Convex Analysis and Optimization . . . . . . . . . . . . . . . . . 20
1.5 Comments and Bibliographical Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
This chapter provides the necessary background material to make this book self-
contained. We present some definitions, concepts, and results for their later use. We
divide this chapter into five sections, covering topics in functional analysis, operator
theory, measure theory, convex analysis, and optimization. The material is relatively
well-known, and for proofs, we refer to the relevant sources.
1.1 Elements of Functional Analysis

In the following, let F be either the real line R or the complex plane C.
Definition 1.1.1 A vector space X over a scalar field F is an assemblage of ele-

ments, called vectors, that is closed under two algebraic operations, namely, vector
addition and multiplication by scalars, that is, for any u, v ∈ X and α ∈ F, we have
u + v ∈ X and αu ∈ X. The algebraic operations satisfy the following:
1. For all u, v ∈ X, we have u + v = v + u.
2. For all u, v, w ∈ X, we have u + (v + w) = (u + v) + w.
3. There exists a vector, denoted by 0, such that u + 0 = u, for any u ∈ X.
4. For any u ∈ X, there is a unique −u ∈ X such that u + (−u) = 0.
5. For any α, β ∈ F and u ∈ X, we have α(βu) = (αβ)u.
6. For the scalar 1 of F , we have 1 u = u, for any u ∈ X.
7. For all α ∈ F and u, v ∈ X, we have α(u + v) = αu + αv.
8. For all α, β ∈ F and u ∈ X, we have (α + β)u = αu + βu.
DOI: 10.1201/9781315228969-1 3
4 Uncertainty Quantification in Variational Inequalities
The vector space X is called a real vector space, if F = R. The vector space X is
called a complex vector space, if F = C.
Remark 1.1.1 Throughout this book, we only work with real vector spaces.
Definition 1.1.2 Let X be a set and T be a collection of subsets of X. The collection

T is called a topology on X, if the following statements hold:
1. X ∈ T and ∅ ∈ T .
2. The union of any members of T is a member of T .
3. The intersection of finitely many members of T is a member of T .
The pair (X, T ) is called a topological space. Any set A ∈ T is called an open set
and its complement Ac := {u ∈ X| u ∈ / A} is called a closed set. An open set
containing u is called its neighborhood. A topological space is called a Hausdorff
topological space, if any two distinct points have disjoint neighborhoods.
Definition 1.1.3 Let (X, T1 ) and (Y, T2 ) be topological spaces. A map f : X → Y

is called continuous, if f −1 (A) = {u ∈ X| f (u) ∈ A} ∈ T1 , for all A ∈ T2 .
Definition 1.1.4 A topological vector space is a Hausdorff topological space and a

vector space in which vector sum and scalar multiplication are continuous.
Definition 1.1.5 Let X be a nonempty set. A function d : X × X → R is called a

metric on X, if it satisfies the following:
1. d(u, v) ≥ 0, for all u, v ∈ X.
2. d(u, u) = 0, if and only if, u = 0.
3. d(u, v) = d(v, u), for every u, v ∈ X.
4. d(u, v) ≤ d(u, w) + d(w, v), for all u, v, w ∈ X.
The pair (X, d) is called a metric space, where d is a metric on the set X.
Definition 1.1.6 A norm on a vector space X over a scalar field F is a function

k · k : X → R that satisfies the following:
1. kuk ≥ 0, for every u ∈ X.
2. kuk = 0, if and only if, u = 0.
3. kαuk = |α|kuk, for every u ∈ X.
4. ku + vk ≤ kuk + kvk, for every u, v ∈ X.
A normed space is a vector space equipped with a norm. If necessary to distinguish,
we will denote the norm of a normed space X by k · kX .
Preliminaries 5
Definition 1.1.7 Let X be a normed space, ū ∈ X be fixed, and r > 0. The closed
ball B̄r (ū), the open ball Br (ū), and the sphere Sr (ū), all centered at ū and with
radius r, are defined as follows:
B̄r (ū) := {u ∈ X| ku − ūk ≤ r} ,
Br (ū) := {u ∈ X| ku − ūk < r} ,
Sr (ū) := {u ∈ X| ku − ūk = r} .
If r = 1, we obtain the unit closed ball, the unit open ball, and the unit sphere.
Definition 1.1.8 Let X be a normed space and {un } be a sequence in X.

1. The sequence {un } is called convergent, if there exists u ∈ X such that
lim kun − uk = 0. In this case, the sequence {un } is said to converge to
n→∞
the limit u, denoted by un → u.
2. The sequence {un } is called a Cauchy sequence, if for every > 0, there exists
a number n0 = n0 () such that kun − um k < , for all m, n > n0 .
Definition 1.1.9 Let X be a normed space. A set S ⊂ X is called dense in X, if

each v ∈ X is the limit of a sequence {vn } ⊂ S. The normed space X is called
separable, if it has a countable dense subset.
Definition 1.1.10 A normed space is called complete, if every Cauchy sequence in

it is convergent. A Banach space is a complete normed space.
Definition 1.1.11 Let X and Y be normed spaces and F : D(F ) ⊆ X → Y, where

D(F ) is the domain of F , be a given map. The map F is called linear, if D(F ) is
a linear subspace and F (αu + βv) = αF (u) + βF (v), for all α, β ∈ R, and for
all u, v ∈ D(F ). A linear map F is called bounded, if there exists a constant c > 0
with kF (u)kY ≤ ckukX , for all u ∈ D(F ).
Theorem 1.1.1 Let X and Y be normed spaces and F : D(F ) ⊆ X → Y , where

D(F ) is the domain of F , be a linear map. Then, the map F is continuous, if and
only if, F is bounded.
Theorem 1.1.2 Let X and Y be normed spaces and L(X, Y ) be the collection of all
bounded linear maps from X to Y . If for F, F1 , F2 ∈ L(X, Y ), and a scalar α, we
define the vector sum by (F1 +F2 )(u) = F1 (u)+F2 (u) and the scalar multiplication
by (αF )(u) = αF (u), then L(X, Y ) is a vector space. The vector space L(X, Y ) is
a normed space with the norm defined by
kF (u)kY
kF k = sup = sup kF (u)kY .
u∈X, u6=0 kukX u∈X, kukX =1
If Y is a Banach space, then L(X, Y ) is a Banach space. If Y = R, then L(X, R) is

the dual space of X, denoted by X ∗ with norm k · k∗ , and is a Banach space. For any
f ∈ X ∗ , u ∈ X, the duality pairing h·, ·i : X ∗ × X → R is given by hf, ui = f (u).
Definition 1.1.12 Let X be a normed space, X ∗ be the dual of X, and X ∗∗ :=

(X ∗ )∗ be the second dual of X. The canonical map C connects any u ∈ X to an
element Cu ∈ X ∗∗ such that Cu (f ) = f (u), for every f ∈ X ∗ . The space X is
called reflexive, if R(C) = X ∗∗ , where R(C) is the range of C.
Definition 1.1.13 Let X be a normed space and X ∗ be the dual of X. A sequence

{un } in X converges weakly to u ∈ X, if `(un ) → `(u), for every ` ∈ X ∗ . The weak
convergence is denoted by un * u and the point u is called the weak limit of {un }.
A weak limit of a subsequence of a sequence {un } is called a weak accumulation
point of the sequence {un }.
Definition 1.1.14 Let X be a normed space and K ⊂ X. The set K is called closed,
if for any sequence {un } ⊂ K with un → u, we have u ∈ K. The set K is called
weakly closed, if for any sequence {un } ⊂ K with un * u, we have u ∈ K. The
set K is called (sequentially) compact, if any sequence {un } in K has a convergent
subsequence with limit u ∈ K. The set K is called (sequentially) weakly compact,
if any sequence in K has a weakly convergent subsequence with weak limit in K.
Theorem 1.1.3 Let X be a normed space and {un } be a sequence in X converging

weakly to u ∈ X. Then {un } is bounded, and kuk ≤ lim inf kun k. Moreover, if a
n→∞
sequence {`n } in X ∗ converges to `, then lim `n (un ) = `(u).
n→∞
Theorem 1.1.4 Any bounded and closed set in a reflexive Banach space is weakly
compact. A Banach space is finite-dimensional, if and only if, each bounded and
closed subset is compact.
Theorem 1.1.5 A Banach space X is reflexive, if and only if, every bounded
sequence in X has a weakly convergent subsequence.
Definition 1.1.15 A norm k·k on a vector space X is said to be equivalent to another

norm k · k0 on X, if there are constants c1 > 0 and c2 > 0 such that for every u ∈ X,
we have c1 kuk0 ≤ kuk ≤ c2 kuk0 .
Theorem 1.1.6 On a finite-dimensional vector space, all norms are equivalent.
Definition 1.1.16 Let X be a vector space on a scalar field F. An inner product on

X is a map h·, ·i : X × X → F such that for all u, v, w ∈ X and α, β ∈ F, we have
1. hu, ui ≥ 0.
2. hu, ui = 0, if and only if, u = 0.
3. hαu + βv, wi = αhu, wi + βhv, wi.
4. hu, vi = hv, ui.

Preliminaries 7
A real inner product space is a real vector space with an inner product. pA real
Hilbert space is a complete real inner product space with the norm k · k = h·, ·i.
Remark 1.1.2 Since the usage will be evident from the context, we often use the
same notation for an inner product and a pairing.
Theorem 1.1.7 Let X be an inner product space with inner product h·, ·i and norm
k · k. Then, for every u, v ∈ X, the parallelogram identity holds:
ku + vk2 + ku − vk2 = 2kuk2 + 2kvk2 .
Moreover, for every u, v ∈ X, the Cauchy-Schwartz inequality holds:
|hu, vi| ≤ kukkvk.
Furthermore, for every u, v, w ∈ X, the following identity holds:
2hu − v, w − ui = kv − wk2 − ku − wk2 − ku − vk2 . (1.1)
Theorem 1.1.8 (The Riesz Representation Theorem) Let X be a Hilbert space

with inner product h·, ·i and norm k · k, and X ∗ be the dual of X with norm k · k∗ .
For each ` ∈ X ∗ , there exists u` ∈ X such that `(u) = hu` , ui, for every u ∈ X.
Moreover, k`k∗ = ku` k.
Definition 1.1.17 Let X be a Banach space and X ∗ be the dual of X. The space
X is called smooth, if and only if, for any u 6= 0, there is a unique u∗ ∈ X ∗ such
that ku∗ k = 1 and u∗ (u) = kuk. The space X is called strictly convex, if for all
u, v ∈ X with kuk = kvk = 1 and u 6= v, we have ku + vk < 2. The space X
is called uniformly convex, if for each ε ∈]0, 2[, there exists δ(ε) > 0 for which
kuk ≤ 1, kvk ≤ 1, and ku − vk ≥ ε imply ku + vk ≤ 2(1 − δ(ε)). A map ε → δ(ε),
for all ε ∈]0, 2[ with this property is called the modulus of convexity of X.
Remark 1.1.3 Any uniformly convex space is reflexive and strictly convex. A re-
flexive Banach space X is smooth, if and only if, its dual X ∗ is strictly convex. A
reflexive Banach space X is strictly convex, if and only if, its dual X ∗ is smooth.
Definition 1.1.18 A normed space X is said to have the Kadec-Klee property, if

for any sequence {un } ⊂ X, the weak convergence un * u and the convergence
kun k → kuk, imply the strong convergence un → u.
Theorem 1.1.9 (Troyanski Theorem [473]) Let X be a reflexive Banach space and
X ∗ be its dual. Then an equivalent norm can be introduced so that X and X ∗ are
locally uniformly convex and hence strictly convex in the new norms on X and X ∗ .
Theorem 1.1.10 (Opial [401]) Let X be a Hilbert space and {un } be a sequence in
X converging weakly to some u ∈ X. Then, for every v ∈ X, with v 6= u, we have
lim inf kun − uk < lim inf kun − vk.

n→∞ n→∞
We now collect some well-known examples to illustrate the above concepts:
Example 1.1.1 The n-dimensional Euclidean space Rn of n-tuples of real num-

bers u = (u1 , . . . , un ) and v = (v1 , . . . , vn ) is a real vector space with the vector
addition and scalar multiplication defined by u + v = (u1 + v1 , . . . , un + vn ) and
αu = (αu1 , . . . , αun ), for all u, v ∈ Rn and α ∈ R. Furthermore, it is a real Banach
space with the following three commonly used norms:
kuk1 = |u1 | + |u2 | + · · · + |un |,
1
kukp = (|u1 |p + |u2 |p + · · · + |un |p ) p ,
kuk∞ = max{|u1 |, |u2 |, · · · , |un |}.
The dual space of Rn can be identified with Rn . The space Rn is a Hilbert space
p product given by hu, vi = u1 v1 + · · · + un vn , which induces the norm
with the inner
ku − vk = (u1 − v1 )2 + · · · + (un − vn )2 .
Figure 1.1: Unit balls B̄1 , B̄2 , B̄∞ in R2 in k · kp norm, where p = 1, 2, ∞.
Example 1.1.2 The n-dimensional unitary space Cn of n-tuples of complex num-

bers u = (u1 , . . . , un ) and v = (v1 , . . . , vn ) is a complex vector space with the
vector addition and scalar multiplication defined by u + v = (u1 + v1 , . . . , un + vn )
and αu = (αu1 , . . . , αun ), for all u, v ∈ Cn and α ∈ C. Furthermore, it is a Banach
space with the three norms defined above for Rn . Moreover, Cn is a Hilbert space
p hu, vi = u1 v̄1 + · · · + un v̄n . This inner product induces the
with the inner product
norm ku − vk = |u1 − v1 |2 + · · · + |un − vn |2 .
Example 1.1.3 The sequence space `∞ of all bounded sequences of real numbers
is a real Banach space with the norm defined by kuk = sup |ui |, where u = {ui }.
i∈N
Example 1.1.4 The sequence space `p , where p ≥ 1 is a fixed real number, consists
of sequences u = {ui } such that the series |u1 |p + |u2 |p + · · · , converges. The dual
space of `1 is `∞ . For 1 < p < ∞, the dual space of `p is `q where q is the conjugate
of p, that is, p−1 + q −1 = 1.
Example 1.1.5 The function space C[a, b] of all real-valued continuous functions
on [a, b] is a Banach space with the norm kuk = max |u(t)|. The space C[a, b] is
t∈[a,b]
not an inner product space.
Preliminaries 9
1.2 Fundamentals of Measure Theory and Integration

We now present an overview of the key ideas of measure theory and integration.
Definition 1.2.1 Let X be a given set and F be a collection of subsets of X. The

collection F is called a σ-algebra, if the following conditions hold:
1. ∅ ∈ F.
2. If F ∈ F, then its complement F c := {x ∈ X| x ∈ / F } ∈ F.
S∞
3. If Fj ∈ F, for j = 1, 2, . . . , then j=1 Fj ∈ F.
If X is a topological space, then the Borel σ-algebra, denoted by B(X), is the small-
est σ-algebra containing all open subsets of X.
It is evident from the above definition that if F is a σ-algebra, then X ∈ F, and
if, F,T G ∈ F, then F \ G = F ∩ Gc ∈ F. Moreover, if Fi ∈ F, for i = 1, 2, . . . ,
∞
then j=1 Fj ∈ F. The pair (X, F) is termed as a measurable space and any set
F ∈ F is called a measurable set.
Definition 1.2.2 A measure on a measurable space (X, F) is a function µ : F →

[0, +∞] satisfying the following conditions:
1. µ(∅) = 0.
∞ ∞
!
[ X
2. µ Fi = µ(Fi ), if Fi ∩ Fj = ∅, for i 6= j.
i=1 i=1
The triple (X, F, µ) is called a measure space. The measure space is called σ-finite,
if X = ∪∞ j=1 Fj , for Fj ∈ F with µ(Fj ) < ∞. A measure space (X, F, µ) is called
a complete measure space, if F ∈ F with µ(F ) = 0 and G ⊂ F, then G ∈ F. The
set F ∈ F with µ(F ) = 0 is called a null set.
Remark 1.2.1 Any measure space can be extended to a complete measure space. In
this work, whenever necessary, assuming that such an extension has been carried out,
we will take measure spaces to be complete.
Theorem 1.2.1 There exists a σ-algebra F of subsets of Rn , and a positive measure

µ on F, such that
1. Every open set in Rn belongs to F.
2. If F ⊂ G, G ∈ F, and µ(G) = 0, then F ∈ F and µ(F ) = 0.
3. Let F := {u ∈ Rn | ai ≤ ui ≤ bi }. Then F ∈ F and µ(F ) = Πni=1 (bi − ai ) .
The elements of F are termed measurable subsets of Rn , and µ is called the

(Lebesgue) measure on Rn . If F ⊂ G ⊂ Rn and µ(F ) = 0, then any condition
that holds on G\F is said to hold almost everywhere on G, denoted by a.e.
Definition 1.2.3 Let (X, F, µ) be a measure space and Y be a Banach space. A

function f : X → R is F-measurable, if {x ∈ X| f (x) ≤ a} ∈ F, for any a ∈ R.
A function f : X → Y is F-measurable, if f −1 (G) ∈ F, for any G ∈ B(Y ). A
set-valued map F : X ⇒ Y is called F-measurable, if for any G ∈ B(Y ), we have
F −1 (G) := {x ∈ X| F (x) ∩ G 6= ∅} ∈ F. Here B(Y ) is a Borel σ-algebra on Y .
Theorem 1.2.2 Let (X, F, µ) be a measure space. Then the following is valid:
1. If f : X → R is measurable, then so is |f |.
2. If f, g : X → R are measurable, then so are f + g and f g.
3. If {fi } is a sequence of measurable functions, then supi fi , inf i fi , lim sup fi ,
i→∞
and lim inf fi are measurable.
i→∞
4. If f is continuous and defined on a measurable set, then f is measurable.
Proposition 1.2.1 ([131, Proposition 1.2]) Let X be a separable Banach space and
U be an X-valued measurable function defined on a measurable space (Ω, F). Then
kU (·)k is a real-valued measurable function.
Definition 1.2.4 Let (X, F, µ) be a measure space. A map s : X → R is a simple

n
X
function, if s(x) = ai IFi , where I is the indicator function, ai ∈ R, and Fi ∈ F.
i=1
Theorem 1.2.3 Let (X, F, µ) be a measure space. For any measurable function f :
X → R, there exists a sequence of simple functions {sn } such that lim sn (x) =
n→∞
f (x), for all x ∈ X.
We will now define the Lebesgue integral of a measurable real-valued function.
Definition 1.2.5 Let (X, F, µ) be a complete measure space and s : X → R be a

non-negative simple function. The integral of s with respect to the measure µ reads:
Z n
X
s dµ := ai µ(Fi ).
X i=1
Let f : X → R be a non-negative measurable function. The integral of f with

respect to the measure µ is given
Z Z
f dµ = sup sdµ| s is a simple function such that 0 ≤ s ≤ f .
X X
Preliminaries 11
The map f is said to be integrable with respect to µ if the supremum above is finite.
For a real-valued measurable function f , we set f = f + − f − , where f + =
max(f, 0) and f − = − min(f, 0), and define
Z Z Z
f (x) dµ = f + (x) dµ − f − (x) dµ.
X X X
We say f is (Lebesgue) integrable with respect to µ, if both integrals on the right-

hand side are finite. We will denote the class of integrable functions on X by L1 (X).
Theorem 1.2.4 Let X be a measurable set and f and g be real-valued measurable

functions. Then, the following statements hold:
1. If f is bounded on X and µ(X) is finite, then f ∈ L1 (X).
2. If a ≤ f (x) ≤ b, for all x ∈ X and if µ(X) < ∞, then
Z
aµ(X) ≤ f (x)dµ ≤ bµ(X).
X
3. If f (x) ≤ g(x), for all x ∈ X, and if both integrals exist, then

Z Z
f (x)dµ ≤ g(x)dµ.
X X
4. If f, g ∈ L1 (X), then f + g ∈ L1 (X), and

Z Z Z
(f + g)(x)dµ = f (x)dµ + g(x)dµ.
X X X
5. If f ∈ L1 (X), c ∈ R, then cf ∈ L1 (X), and

Z Z
(cf )(x)dµ = c f (x)dµ.
X X
6. If f ∈ L1 (X), then |f | ∈ L1 (X) and

Z Z
f (x)dµ ≤ |f (x)|dµ.
X X
The above notions presented in connection with the Lebesgue integral have vari-
ants for functions admitting values in general Banach spaces. We also define the
integral of such functions for later use.
Theorem 1.2.5 Let (X, F, µ) be a complete measure space and Y be a Banach

space. If fn : X → Y is measurable and fn (x) → f (x), as n → ∞, for almost all
x ∈ X, then f : X → Y is measurable.
Definition 1.2.6 (Integral of Banach space valued functions) Let (X, F, µ) be a

complete measure space and Y be a Banach space.
1. A map s : X → Y is a simple function, if there are si ∈ Y and Fi ∈ F for

n
X
i = 1, . . . , N with µ(Fi ) < ∞ such that s(x) = si IFi (x), where I is the
i=1
indicator function and x ∈ X.
2. The integral of a simple function s with respect to the measure space (X, F, µ) is
Z N
X
s(x)dµ(x) := si µ(Fi ).
X i=1
2. A function f : X → Y is integrable with respect to µ if there are simple functions

fn such that fn (x) → f (x) as n → ∞ for almost all x ∈ X and fn is a
Cauchy sequence in the sense that, for all ε > 0, and for sufficiently large
n, m, we have Z
kfn (x) − fm (x)kY dµ(x) < ε.
X
Note that s(x) = kfn (x) − fm (x)kY is a simple function from X → R.

3 If f : X → Y is integrable, then we define
Z Z
f (x) dµ(x) := lim fn (x)dµ(x).
X n→∞ X
R
We note that X
kf (x)kY dµ(x) < ∞.
We now recall some of the most important theorems in measure theory. For sim-
plicity, we state these results for real-valued functions, however, they have variants
for Banach space valued functions.
Theorem 1.2.6 (The Monotone Convergence Theorem) Assume that X ⊂ Rn is

measurable, and {fn } is a sequence of measurable functions such that for every
x ∈ X, we have 0 ≤ f1 (x) ≤ f2 (x) ≤ · · · . Then
Z Z
lim fn dµ = lim fn (x) dµ.
n→∞ X X n→∞
Theorem 1.2.7 (Fatou’s Lemma) Assume that X ⊂ Rn is measurable, {fn } is a

sequence of measurable nonnegative functions, and f is a nonnegative measurable
function with lim fn (x) = f (x), a.e. Then
n→∞
Z Z
f (x)dµ ≤ lim inf fn (x) dµ.
X n→∞ X
Preliminaries 13
Theorem 1.2.8 (The Lebesgue Dominated Convergence Theorem) Assume that

X ⊂ Rn is measurable, and {fn } is a sequence of measurable functions such that
lim fn (x) = f (x), a.e. Assume that there exists an integrable function g such that
n→∞
|fn (x)| ≤ g(x), for each n and for almost every x ∈ X. Then
Z Z
lim fn dµ = f dµ.
n→∞ X X
Theorem 1.2.9 (Fubini’s Theorem) Assume that f is a measurable function on

Rm+n and suppose that at least one of the following integrals exists and is finite:
Z
I1 := |f (x, y)|dx dy,
n+m
ZR Z
I2 := |f (x, y)|dx dy,
Rm Rn
Z Z
I3 := |f (x, y)|dy dx.
Rn Rm
Then:
1. f (·, y) ∈ L1 (Rn ), for almost every y ∈ Rm .
2. f (x, ·) ∈ L1 (Rm ), for almost every x ∈ Rn .
3. I1 = I2 = I3 .
Having stated the notion of the Lebesgue integral, we now collect some results
on Lp (Ω), for p > 0 and an open subset Ω of Rn . By Lp (Ω), we denote the class of
measurable functions u defined on Ω such that
Z
|u(x)|p dx < ∞.
Ω
p
The elements in L (Ω) are indeed equivalence classes of elements in the sense that
two elements are identified if they are equal except on a set of measure zero. For
p ∈ [1, ∞), we equip Lp (Ω) with the following norm:
Z 1/p
kukp = |u(x)|p .
Ω
We have the following result:
Theorem 1.2.10 Let 1 < p < ∞, and q be the conjugate exponent of p. If u ∈

Lp (Ω) and v ∈ Lq (Ω), then uv ∈ L1 (Ω) and
Z
|u(x)v(x)|dx ≤ kukp kvkq .
Ω
Moreover, if p > 0, q > 0, and r > 0 satisfy p−1 + q −1 = r−1 , and u ∈ Lp (Ω) and
v ∈ Lq (Ω), then uv ∈ Lr (Ω) and
kuvkr ≤ kukp kvkq .
Definition 1.2.7 A function u which is measurable on Ω is termed essentially

bounded on Ω, if there is a constant k > 0 such that |u(x)| ≤ k, almost every-
where on Ω. The greatest lower bound of all such k is called the essential supremum
of |u|, denoted by ess supu∈Ω |u|. By L∞ (Ω), we denote the vector space of all u that
are essentially bounded on Ω. The norm k · k∞ on L∞ (Ω) is defined by
kuk∞ = ess supx∈Ω |u(x)|.
We have the following important embedding theorem:

R
Theorem 1.2.11 Assume that vol(Ω) := Ω
dx < ∞ and 1 ≤ p ≤ q ≤ ∞. If
u ∈ Lq (Ω), then u ∈ Lp (Ω), and
kukp ≤ vol(Ω)1/p−1/q kukq .
Moreover, if u ∈ Lp (Ω) for 1 ≤ p < ∞ and if there is a constant k > 0 such that
kukp ≤ k, then u ∈ L∞ (Ω) and kuk∞ ≤ k.
Theorem 1.2.12 For 1 ≤ p ≤ ∞, Lp (Ω) is a Banach space. Each Cauchy

sequence in Lp (Ω) has a subsequence converging point-wise almost everywhere
on Ω. For 1 ≤ p < ∞, the space Lp (Ω) is separable. If 1 < p < ∞, then
Lp (Ω) is uniformly
Z convex. The space L2 (Ω) is a Hilbert space with the inner prod-
uct hu, vi = u(x)v(x) dx.
Ω
We shall now define the Lp -space for Banach space valued functions:
Definition 1.2.8 Let (X, F, µ) be a measure space and Y be a Banach space. The
space Lp (X, Y ) is the set of F-measurable functions f : X → Y such that
kf kLp (X,Y ) < ∞, where
Z 1/p
kf kLp (X,Y ) := kf (x)kpY dµ(x) .
X
The space L1 (X, Y ) consists of integrable functions from X to Y . The space

L∞ (X, Y ) is the set of F-measurable functions f : X → Y such that
kf kL∞ (X,Y ) := ess supx∈X kf (x)kY .
Theorem 1.2.13 ([67, Theorem 16.8]) Let (Ω, F, µ) be a measure space, f :

R × Ω R→ R be a measurable and integrable function for x ∈ (a, b), and
G(x) = Ω f (x, ω)µ(dω).
1. Assume that for ω ∈ A, where A ∈ F, µ(Ω\A) = 0, f (x, ω) is continuous in
x at x0 . Assume further that |f (x, ω)| ≤ g(ω), for ω ∈ A and |x − x0 | < δ,
where δ is independent of ω, and g is integrable. Then G is continuous at x0 .
Preliminaries 15
2. Assume that for ω ∈ A, where A ∈ F, f (ω, x) has in (a, b) a derivative f 0 (x, ω).
Suppose further that |f 0 (x, ω)| ≤ g(ω),
R for ω ∈ A and x ∈ (a, b), where g is
integrable. Then G has a derivative Ω f 0 (x, ω)µ(dω) on (a, b).
Theorem 1.2.14 ([25, Theorem 8.2.9]) Let (Ω, F, µ) be a complete σ-finite mea-
sure space, X and Y be separable complete metric spaces, F : Ω ⇒ X and
G : Ω ⇒ Y be measurable set-valued maps with closed images, and g : Ω × X → Y
be a Carathéodory map. Then the set-valued map H : Ω → X defined by
H(ω) := {x ∈ F (ω) : g(ω, x) ∈ G(ω)},
is measurable.
Theorem 1.2.15 ([25, Theorem 8.2.11]) Let (Ω, F, µ) be a complete σ-finite mea-
sure space, X be a complete separable metric space, F : Ω → X be a measurable
set-valued with closed nonempty images, and f : Ω × X → R be a Carathéodory
function. Then the marginal function v : Ω → R ∪ {−∞} defined by
for every ω ∈ Ω, v(ω) := inf f (ω, x),

x∈F (ω)
is measurable. Furthermore, the marginal map R defined by
for every ω ∈ Ω, R(ω) := {x ∈ F (ω) : f (ω, x) = inf f (ω, y)},

y∈F (ω)
is also measurable.
1.3 Essentials of Operator Theory

In this section, we collect some essential tools from operator theory.
Definition 1.3.1 Let H be a Hilbert space and a : H × H → R be a bilinear form,

that is, a(u, v) is linear in both u and v. Then, the bilinear form a(·, ·) is called:
1. β-continuous, if there exists a constant β > 0 such that
|a(u, v)| ≤ βkuk kvk, for all u, v ∈ H. (1.2)
2. positive, if
a(v, v) ≥ 0, for all v ∈ H. (1.3)
3. α-elliptic or α-coercive, if there exists a constant α > 0 such that
a(v, v) ≥ αkvk2 , for all v ∈ H. (1.4)

4. symmetric, if
a(u, v) = a(v, u), for all u, v ∈ H. (1.5)
Definition 1.3.2 Let X be a Banach space, X ∗ be the dual of X, h·, ·i be the duality
paring, and F : X → X ∗ be a given map. The map F is called:
1. monotone, if
hF u − F v, u − vi ≥ 0, for all u, v ∈ X. (1.6)
2. paramonotone, if F is monotone and
hF u − F v, u − vi = 0, for u, v ∈ X, implies F (u) = F (v). (1.7)
3. strictly monotone, if
hF u − F v, u − vi > 0, for all u, v ∈ X, with u 6= v. (1.8)
4. m-strongly monotone, if there exists a constant m > 0 such that
hF u − F v, u − vi ≥ mku − vk2 , for all u, v ∈ X. (1.9)
5. K-pseudo-monotone, if
hF u, u − vi ≥ 0 ⇒ hF v, u − vi ≥ 0, for all u, v ∈ X.
6. m-strongly pseudo-monotone, if for m > 0,
hF u, u − vi ≥ 0 ⇒ hF v, u − vi ≥ mku − vk2 , for all u, v ∈ X.
7. co-coercive, if there exists a constant c > 0 such that
hF u − F v, u − vi ≥ ckF u − F vk2 , for all u, v ∈ X. (1.10)
8. coercive, if
hF u, ui
lim = ∞. (1.11)
kuk→∞ kuk
9. coercive on a set S ⊂ X, if there exists ũ ∈ S such that
hF u, u − ũi
lim = ∞. (1.12)
u∈S,kuk→∞ kuk
10. L-Lipschitz continuous, if there exists a constant L > 0 such that
kF u − F vk ≤ Lku − vk, for all u, v ∈ X. (1.13)
11. nonexpansive, if in (1.13), the constant L = 1.

Preliminaries 17
12. contraction, if in (1.13), the constant L < 1.

13. continuous, if for all {un } ⊂ X with un → u, we have F un → F u.
14. demicontinuous, if for all {un } ⊂ X with un → u, we have F un * F u.
15. hemicontinuous, if the real function t → hF (u + tv), wi is continuous on [0, 1],
for all u, v, w ∈ X.
16. strongly continuous, if for all {un } ⊂ X with un * u, we have F un → F u.
17. bounded, if it maps bounded sets into bounded sets.
18. locally Lipschitz continuous on W ⊆ X, if it is Lipschitz continuous on each
bounded subset of W .
Definition 1.3.3 Let U and V be Hilbert spaces. We set H := U × V . Let h·, ·i be

the inner product on H. A map F : H → H is called κ-semi-coercive, if there is a
constant κ > 0 such that for each pair of points x = (u, v), y = (u0 , v 0 ), we have
hF (x) − F (y), x − yi ≥ κku − u0 k2 .
Remark 1.3.1 Every strongly monotone mapping is semi-coercive and every semi-
coercive mapping is monotone, but the converse assertions are not true.
Definition 1.3.4 Let X be a real Banach space, X ∗ be the dual of X, h·, ·i be the
duality paring, and F : X → X ∗ be given. The map F is called pseudo-monotone,
if for any {un } ⊂ X, the weak convergence un * u and the following condition
lim suphF un , un − ui ≤ 0,
n→∞
implies that
hF u, u − wi ≤ lim inf hF un , un − wi, for every w ∈ X.

n→∞
Remark 1.3.2 Brezis [81] introduced the above notion of pseudo-monotonicity. On

the other hand, the notion of a K-pseudo-monotone map in Definition 1.3.2 was
introduced by Karamardian [286] who named it pseudo-monotone. To avoid any
confusion, we called it K-pseudo-monotone. The notion of a paramonotone map,
which resides strictly between monotonicity and strict monotonicity, can be traced
back to Bruck [85], but without the use of the name. Censor, Iusem, and Zenios [102]
studied this notion under the term paramontone.
Definition 1.3.5 Let X be a Banach space, X ∗ be the dual of X, and h·, ·i be the
duality paring. Let F : X ⇒ X ∗ be a set-valued map which assigns to u ∈ X, the
set F u ⊂ X ∗ . The set D(F ) := {u ∈ X : F u 6= ∅} is the effective domain of
F . The set R(F ) = ∪u∈D(F ) {F (u)} is the range of F . The set G(F ) = {(u, w) ∈
X × X ∗ | u ∈ D(F )} is the graph of F . The set-valued map F is called:
1. monotone, if G(F ) is a monotone subset of X × X ∗ , that is, for all u, v ∈ D(F ):
hu∗ − v ∗ , u − vi ≥ 0, for all u∗ ∈ F u, v ∗ ∈ F v. (1.14)
2. maximal monotone, if the graph G(F ) of F is not a proper subset of any mono-
tone set in X × X ∗ .
Theorem 1.3.1 Let X be a Banach space, X ∗ be the dual of X, h·, ·i be the duality
paring, and F : X → X ∗ be a linear map. Then:
1. F is monotone, if and only if, F is positive, that is
hF u, ui ≥ 0, for every u ∈ X. (1.15)
2. F is strictly monotone, if and only if, F is strictly positive, that is
hF u, ui > 0, for every u ∈ X, with u 6= 0. (1.16)
3. F is m-strongly monotone, if and only if, F is m-strongly positive, that is
hF u, ui ≥ mkuk2 , for every u ∈ X. (1.17)
Lemma 1.3.1 Assume that a sequence of matrices {Ak } ⊂ Rn×n converges to a

positive definite matrix A ∈ Rn×n . Then, there exists a number k0 such that Ak is
positive definite for every k ≥ k0 . Let λk be the smallest eigenvalue of 12 (A>
k + Ak ),
for each k. Then, λk → λ, where λ is the smallest eigenvalue of 21 (A> + A).
Definition 1.3.6 Let X and Y be topological vector spaces. A set-valued map F :

X ⇒ Y is called upper-semicontinuous if for every open set W ⊂ Y, the set
{x| F (x) ⊂ W } is open in X.
Theorem 1.3.2 Let X be a reflexive Banach space, X ∗ be the dual of X, h·, ·i be the
duality paring, and F, F1 , F2 : X → X ∗ be given. Then:
1. If F is linear and monotone, then F is continuous.
2. If F is monotone and hemicontinuous, then F is demicontinuous.
3. If F is strongly continuous, then F is pseudo-monotone.
4. If F is monotone and hemicontinuous, then F is pseudo-monotone.
5. If F is continuous and X is finite-dimensional, then F is pseudo-monotone.
6. If F1 and F2 are pseudo-monotone, then F1 + F2 is pseudo-monotone.
7. If F is monotone and hemicontinuous, then F is maximal monotone.
8. If F is monotone and demicontinuous, then F is maximal monotone.
Preliminaries 19
Theorem 1.3.3 Let H be a Hilbert space, H ∗ be the dual of H, F : H → H ∗ be

strongly monotone and Lipschitz continuous. Then, for each f ∈ H ∗ , the operator
equation F u = f has a unique solution u ∈ H.
Theorem 1.3.4 Let X be a reflexive Banach space with dual X ∗ and F be a maximal
monotone and coercive map from X to X ∗ . Then, R(F ) = X ∗ .
Theorem 1.3.5 Let X be a reflexive Banach space with dual X ∗ and duality paring
∗
h·, ·i, C ⊂ X be nonempty, closed, and convex, A : C ⇒ 2X be maximal monotone,
and B : C → X ∗ be pseudo-monotone, bounded, and demicontinuous. Moreover, if
C is unbounded, then assume that there exists w ∈ C ∩ D(A) such that
hBu, u − wi
→ ∞ as kuk → ∞ in C.
kuk
Then, for each b ∈ X ∗ , there exists u ∈ C such that b ∈ Au + Bu.
Theorem 1.3.6 (Tikhonov (Tychonoff) Fixed Point Theorem.) Let X be a locally

convex topological vector space, K ⊂ X be convex, and compact, and T : K → K
be continuous. Then T has a fixed point, that is, there is u ∈ K with T u = u.
Remark 1.3.3 If X is a finite-dimenstional normed space, the above result is the

celebrated Brouwer’s Fixed Point Theorem.
Theorem 1.3.7 (Banach Contraction Principle.) Let X be a Banach space,

K ⊂ X be nonempty and closed, and T : K → K be a contraction. Then T
has a unique fixed point.
Theorem 1.3.8 (Kakutani–Glicksberg–Fan Fixed Point Theorem.) Let X be a

Hausdorff locally convex topological vector space and K ⊂ X be non-empty, com-
pact, and convex. Let F : K ⇒ K be a set-valued map such that F is upper-
semicontinuous, and F (x) is nonempty, compact, and convex for all x ∈ K. Then F
has a fixed point.
We have the following consequence of the above result:
Corollary 1.3.1 (Kluge [300]) Let X be a reflexive Banach space and C ⊂ X be

nonempty, closed, and convex. Let F : C ⇒ C be such that for every u ∈ C, F (u)
is nonempty, closed, and convex, and the graph of F is sequentially weakly closed.
Assume that either C or the set F (C) is bounded. Then F has a fixed point.
1.4 An Overview of Convex Analysis and Optimization

We now collect some basic features of convex sets and convex functions.
Definition 1.4.1 Let X be a vector space. Given u, v ∈ X, the line segment with
u and v as the endpoints is defined by [u, v] = {tu + (1 − t)v| 0 ≤ t ≤ 1}. A set
K ⊂ X is termed convex, if and only if, for any u, v ∈ K, the line segment [u, v] is
in K. A set K is called a cone if u ∈ K implies αu ∈ K, for all α ≥ 0.
Theorem 1.4.1 In a normed space any closed and convex set is weakly closed.
Definition 1.4.2 Let X be a normed space and f : X → R̄ := [−∞, +∞] with

effective domain = D(f ) := {u ∈ X| f (u) < +∞}. The map f is called:
1. convex, if for every u, v ∈ D(f ) and every t ∈ [0, 1], we have
f (tu + (1 − t)v) ≤ tf (u) + (1 − t)f (v).
2. strictly convex, if for every u, v ∈ D(f ), u 6= v, and every t ∈ (0, 1), we have
f (tu + (1 − t)v) < tf (u) + (1 − t)f (v).
3. m-strongly convex, with constant m > 0, if for every u, v ∈ D(f ) and every
t ∈ [0, 1], we have
m
f (tu + (1 − t)v) ≤ tf (u) + (1 − t)f (v) − t(1 − t)ku − vk2 .
2
4. proper, if f 6≡ +∞ and f (u) > −∞, for each u ∈ X.
Definition 1.4.3 Let X be a vector space and f : X → R̄ be a given map. The

epigraph of the map f is the set defined by:
epi(f ) := {(u, r) ∈ X × R| f (u) ≤ r}.
Theorem 1.4.2 Let X be a vector space and f : X → R̄ be a given map. The map
f is convex, if and only if, its epigraph is a convex subset of X × R.
Definition 1.4.4 Let X be a normed space and f : X → R̄ be a given map. The

map f is called (sequentially) lower semi-continuous on X, if for any sequence
{un } ⊂ D(f ), with un → u, we have
f (u) ≤ lim inf f (un ).

n→∞
Preliminaries 21
Theorem 1.4.3 Let X be a normed space and let f : X → R̄ be a given map.

The map f is lower semi-continuous, if and only if, its epigraph is closed. If f is
proper and convex, then it is lower semi-continuous, if and only if, it is lower semi-
continuous in the weak topology.
Theorem 1.4.4 Let X be a Banach space and let f : X → R ∪ {+∞} be lower

semi-continuous and convex. Then f is continuous on int(dom(f )).
Definition 1.4.5 Let X be a normed space with X ∗ as its dual, and f : X → R̄ be

a given map. The conjugate function f ∗ : X ∗ → (−∞, ∞] of f is given by
f ∗ (u∗ ) = sup {hu∗ , ui − f (u)} , u∗ ∈ X ∗ .

u∈X
The biconjugate of f is the conjugate of f ∗ defined by
f ∗∗ (u) = sup {hu∗ , ui − f ∗ (u∗ )} , u ∈ X.

u∗ ∈X ∗
It is known that the conjugate function f ∗ is lower semi-continuous and convex.

As a direct consequence of Definition 1.4.5, we obtain the Fenchel inequality:
f (u) + f ∗ (u∗ ) ≥ hu∗ , ui, for all u ∈ X, u∗ ∈ X ∗ . (1.18)
Given a normed space X, the indicator function IK of a set K ⊂ X is the

function IK : X → [0, ∞] given by

0 if u ∈ K,
IK (u) = (1.19)
∞ otherwise.
If the set K is nonempty, closed, and convex, then the indicator function IK is proper,
lower semi-continuous, and convex. The conjugate IK∗ of IK is also called the support
functional of K and satisfies:
IK∗ (u) = sup hv, ui. (1.20)

u∈K
Moreover, when K is bounded, say K ⊆ B r (0), for some r > 0, then we have
|IK∗ (u)| ≤ rkuk. (1.21)
pairing, and f : X →] − ∞, ∞] be convex. The subdifferential of f is the set-valued
map ∂f : X ⇒ X ∗ defined by
∂f (u) := {u∗ ∈ X ∗ | hu∗ , u − vi ≥ f (u) − f (v), for every v ∈ X} . (1.22)
Any u∗ ∈ ∂f (u) is called a subgradient of f at u. The domain of ∂f is given by
D(∂f ) := {u ∈ X| ∂f (u) 6= ∅}.
The map f is called subdifferentiable at u, if u ∈ D(∂f ).

pairing, and K ⊂ X be nonempty, closed, and convex. The normal cone NK (u) to
K at u ∈ K, is the subdifferential of IK . That is,
NK (u) = ∂IK (u) = {u∗ ∈ X ∗ | hu∗ , u − vi ≥ 0, for every v ∈ K} .
Theorem 1.4.5 Let X be a Banach space, X ∗ be the dual of X, and h·, ·i be the
duality pairing. Let f : X → R̄ be a proper, convex map. Then, the following three
properties are equivalent:
1. u∗ ∈ ∂f (u).
2. f (u) + f ∗ (u∗ ) ≤ hu∗ , ui.
3. f (u) + f ∗ (u∗ ) = hu∗ , ui.
If, additionally, f is lower-semicontinuous, then the above three properties are equiv-
alent to the following:
4. u ∈ ∂f ∗ (u∗ ).
Theorem 1.4.6 Let X be a Banach space and let f : X → R ∪ {+∞} be convex

and lower-semicontinuous. Then, for any x in the interior of the domain of f , the
subdifferential ∂f (x) is a nonempty, bounded, closed, and convex subset of X ∗ .
Theorem 1.4.7 Let X be a reflexive Banach space with dual X ∗ , F be a maximal

monotone map from X to X ∗ , and f : X →]∞, ∞] be lower-semicontinuous, proper,
and convex. Then F + ∂f is maximal monotone, if one of the two conditions holds:
D(F ) ∩ intD(f ) 6= ∅,
D(f ) ∩ intD(F ) 6= ∅.
Definition 1.4.8 Let X and Y be normed spaces, S ⊂ X be open, and f : X → Y .

1. The map f is directionally differentiable at u ∈ S in a direction v ∈ X, if
f (u + tv) − f (u)
f 0 (u; v) = lim , (1.23)
t↓0 t
provided that the limit exists. If f is directionally differentiable at u in every
direction v ∈ X, then f is called directionally differentiable at u.
2. The map f is called Gâteaux differentiable, if f is directionally differentiable at
u and the directional derivative f 0 (u; v) is linear and continuous in v. The
Gâteaux derivative of f at u is denoted by Df (u) or ∇f (u).
3. The map f is Fréchet differentiable, if there is a linear map L ∈ L(X, Y ) with
kf (u + v) − f (u) − Lvk
lim = 0.
kvk→0 kvk
The map L is called the Fréchet derivative and denoted by DF f (u) or Df (u).
Preliminaries 23
Definition 1.4.9 (Liu and Nashed [332]) Let H be a Hilbert space. A map F : H →
H is weakly differentiable at u ∈ H, if there exists a linear map DF (u) : H → H,
called the weak derivative of F at u, such that for each v ∈ H, we have
hF (u + w) − F (u) − DF (u)w, vi
→ 0 as kwk → 0.
kwk
Theorem 1.4.8 Let X be a Banach space, X ∗ be the dual of X, and f : X → R̄ be

a convex map. For each u ∈ X, the set ∂f (u) is closed and convex. Moreover, if f is
continuous at u, then ∂f (u) is nonempty and bounded. Furthermore, if f is Gâteaux
differentiable at u, then ∂f (u) = {Df (u)}.
Theorem 1.4.9 Let X be a normed space, K ⊂ X be open and convex, and f :

K → R be Gâteaux differentiable on K. Then the following statements hold:
1. f is convex. if and only if, Df is monotone on K.
2. f is strictly convex. if and only if, Df is strictly monotone on K.
3. If f is m-strongly convex, then Df is m-strongly monotone, and
m
f (u) − f (v) ≥ hDf (v), u − vi + ku − vk2 , for every u, v ∈ K.
2
4. If Df is L-Lipschitz continuous, then

L
f (u) − f (v) ≤ hDf (v), u − vi + ku − vk2 , for every u, v ∈ K.
2
5. If f is additionally convex, then Df is L-Lipschitz continuous, if and only if,

1
hDf (u) − Df (v), u − vi ≥ kDf (u) − Df (v)k, for every u, v ∈ X.
L
Theorem 1.4.10 (Weierstrass Theorem.) Let X be a reflexive Banach space, K ⊂

X be weakly closed, and J : K → R be proper and weakly lower-semicontinuous.
Assume that one of the following two conditions holds:
1. K is bounded.
2. J is coercive, that is, J(v) → ∞ as kvk → ∞.
Then J attains its minimum value on K. If additionally, K and J are convex, then
the set of all minimizers of J is a closed and convex subset of K. Moreover, if J is
strictly convex, then the minimizer is unique.
Theorem 1.4.11 ([308]) Let H be a Hilbert space and K ⊂ H be nonempty, closed,

and convex. Let g : H × K → R be such that the partial derivative of Dgu (u, v) in
u exists and is continuous on H × K. We define two functions:
G(u) = min g(u, v), for all u ∈ H.
v∈K
J(u) = {v ∈ K| g(u, v) = G(u)}.
Let J(u) be a singleton for all u ∈ H, and J be continuous on H. Then G is contin-
uously differentiable and the derivative formula is given by
DG(u) = Du g(u, J(u)).
Finally, we recall the notion of the duality map.
Definition 1.4.10 Let X be a Banach space, X ∗ be the dual of X, h·, ·i be the pair-
ing, k · k be the norm in X, and k · k∗ be the norm in X ∗ . The (normalized) duality
map J : X ⇒ X ∗ is given by
J(u) = u∗ ∈ X ∗ | hu∗ , ui = kuk2 = ku∗ k2∗ .

(1.24)
The duality map can also be characterized as the subdifferential of the convex
function Φ(u) := 12 kuk2 . That is,

1 1
J(u) = u∗ ∈ X ∗ | kvk2 − kuk2 ≥ hu∗ , v − ui, for every v ∈ X .
2 2
In the following result, we collect some useful properties of the duality map.
Theorem 1.4.12 Let X be a Banach space with X ∗ as its dual, and J : X ⇒ X ∗

be the (normalized) duality map. Then the following statements hold:
1. For any u ∈ X, J(u) is nonempty, bounded, closed, and convex.
2. For any u ∈ X and k ∈ R, we have J(ku) = kJ(u).
3. For any u, v ∈ X, u∗ ∈ J(u), and v ∗ ∈ J(v), we have hu∗ − v ∗ , u − vi ≥ 0.
4. If X is strictly convex, then J is a one-to-one map.
5. If X is reflexive, then J is a map from X onto X ∗ .
6. If X ∗ is strictly convex, then J is a single-valued map.
7. If X is a smooth Banach space, then J is a continuous map.
8. If X is a uniformly convex Banach space, then J is a uniformly continuous on
each bounded set.
9. If X is a Hilbert space, then J is the identity map.
10. If X is reflexive and X ∗ is strictly convex, then J is single-valued, surjective,
demi-continuous, maximal monotone, bounded, and coercive.
Preliminaries 25
1.5 Comments and Bibliographical Notes

We presented basic definitions and results, which we frequently use in the
rest of the book. The given results are well-known and are readily available.
For Functional analysis, Nonlinear analysis, and Measure theory, we cite the
books by Adams and Fournier [4], Alber and Ryazantseva [15], Brezis [82],
Ciarlet [116], Cohn [123], Holmes [240], Kreyszig [315], Megginson [366], Oden
and Demkowicz [399]. For convex analysis, operator theory, and optimization, we
can refer to the books by Aubin and Ekeland [24], Barbu and Precupanu [42],
Bauschke and Combettes [48], Borwein and Lewis [77], Ekeland and Temam [160],
Hiriart-Urruty and Lemaréchal [237], Ioffe and Tihomirov [245], Jahn [266],
Mordukhovich [375], Mordukhovich and Nam [376], Peypouquet [420],
Rockafellar [436], Simons [451], Zălinescu [494], and Zeidler [500, 501, 502].
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Ebook Uncertainty Quantification in Variational Inequalities Theory Numerics and Applications 1St Edition Joachim Gwinner Online PDF All Chapter

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Uncertainty Quantification in

Variational Inequalities: Theory,

Cambridge IGCSE and O Level History Workbook 2C - Depth

Multi Valued Variational Inequalities and Inclusions

Multi Valued Variational Inequalities and Inclusions

Advanced Calculus and its Applications in Variational

Relaxation in Optimization Theory and Variational

Approximation Theory and Analytic Inequalities

Measurement Uncertainty Methods and Applications Fifth

Primary Mathematics 3A Hoerst

Library of Congress Cataloging‑in‑Publication Data

Names: Gwinner, Joachim, author. | Jadamba, Baasansuren, author. | Khan,

ISBN: 978-1-138-62632-4 (hbk)

List of Tables xiii

1.1 Elements of Functional Analysis . . . . . . . . . . . . . . . . . . . 3

2.1 Probability Measure . . . . . . . . . . . . . . . . . . . . . . . . . 27

3 Projections on Convex Sets 39

3.1 Projections on Convex Sets in Hilbert Spaces . . . . . . . . . . . . 40

4 Variational and Quasi-Variational Inequalities 57

4.1 Illustrative Examples . . . . . . . . . . . . . . . . . . . . . . . . . 58

5 Numerical Methods for Variational and Quasi-Variational Inequalities 107

5.1 Projection Methods . . . . . . . . . . . . . . . . . . . . . . . . . . 108

II Uncertainty Quantification 173

6 An Lp -Approach for Variational Inequalities with Uncertain Data 177

6.1 Linear Variational Inequalities with Random Data . . . . . . . . . 177

6.2.1 A Probabilistic Approximation Scheme . . . . . . . . . . . 197

7 Expected Residual Minimization (ERM) 213

7.1 ERM for Linear Complementarity Problems . . . . . . . . . . . . 213

8 Stochastic Approximation Approach 233

8.1 Stochastic Approximation. An Overview . . . . . . . . . . . . . . 233

III Applications 277

9.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 279

10 Uncertainty Quantification in Migration Models 293

10.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293

11 Uncertainty Quantification in Nash Equilibrium Problems 307

11.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307

12 Uncertainty Quantification in Traffic Equilibrium Problems 321

12.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321

1.1 Unit balls B̄1 , B̄2 , B̄∞ in R2 in k · kp norm, where p = 1, 2, ∞. . 8

3.1 Geometric characterization of the projection map. . . . . . . . . . 41

9.1 The electric power supply chain. . . . . . . . . . . . . . . . . . . 280

12.1 Network of Example 12.4.1. . . . . . . . . . . . . . . . . . . . . 329

9.1 Mean values of the approximated solution for varying N d . . . . . 290

10.1 Mean value of of p = (p1 , p2 , p3 ). . . . . . . . . . . . . . . . . . 303

11.1 Mean value of q = (q1 , q2 , q3 ). . . . . . . . . . . . . . . . . . . . 314

→ strong convergence L(X, Y ) the collection of all

Lp (Ω, F, H) space of H-valued F- B Borel sigma algebra

Uncertainty Quantification is an emerging and active research discipline that aims

1.1 Elements of Functional Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

1.1 Elements of Functional Analysis

Definition 1.1.1 A vector space X over a scalar field F is an assemblage of ele-

Definition 1.1.2 Let X be a set and T be a collection of subsets of X. The collection

Definition 1.1.3 Let (X, T1 ) and (Y, T2 ) be topological spaces. A map f : X → Y

Definition 1.1.4 A topological vector space is a Hausdorff topological space and a

Definition 1.1.5 Let X be a nonempty set. A function d : X × X → R is called a

Definition 1.1.6 A norm on a vector space X over a scalar field F is a function

Definition 1.1.8 Let X be a normed space and {un } be a sequence in X.

Definition 1.1.9 Let X be a normed space. A set S ⊂ X is called dense in X, if

Definition 1.1.10 A normed space is called complete, if every Cauchy sequence in

Definition 1.1.11 Let X and Y be normed spaces and F : D(F ) ⊆ X → Y, where

Theorem 1.1.1 Let X and Y be normed spaces and F : D(F ) ⊆ X → Y , where

If Y is a Banach space, then L(X, Y ) is a Banach space. If Y = R, then L(X, R) is

Definition 1.1.12 Let X be a normed space, X ∗ be the dual of X, and X ∗∗ :=