A STOCHASTIC APPROACH TO STABILITY IN STOCHASTIC-PROGRAMMING

[摘要] A random optimization problem (GRAPHICS) is approximated by a sequence of random surrogate problems (P-n)(n is an element of N) with (GRAPHICS) ([Omega, Sigma, P] a given probability space). We investigate the convergence almost surely and in probability of the optimal values and the solution sets. The results can be regarded as random versions of well-known stability statements of parametric programming. Semicontinuous convergence (almost surely, in probability) of sequences of random functions is a crucial assumption in this framework and will be investigated in more detail.

[发布日期] 1994-12-20

[效力级别]  Proceedings Paper

[关键词] STOCHASTIC PROGRAMMING;STABILITY;CONVERGENCE ALMOST SURELY;CONVERGENCE IN PROBABILITY