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Stability of stochastic optimization problems - nonmeasurable case

Petr Lachout (2008)

Kybernetika

This paper deals with stability of stochastic optimization problems in a general setting. Objective function is defined on a metric space and depends on a probability measure which is unknown, but, estimated from empirical observations. We try to derive stability results without precise knowledge of problem structure and without measurability assumption. Moreover, ε -optimal solutions are considered. The setup is illustrated on consistency of a ε - M -estimator in linear regression model.

Stability of Supporting and Exposing Elements of Convex Sets in Banach Spaces

Azé, D., Lucchetti, R. (1996)

Serdica Mathematical Journal

* This work was supported by the CNR while the author was visiting the University of Milan.To a convex set in a Banach space we associate a convex function (the separating function), whose subdifferential provides useful information on the nature of the supporting and exposed points of the convex set. These points are shown to be also connected to the solutions of a minimization problem involving the separating function. We investigate some relevant properties of this function and of its conjugate...

Stochastic geometric programming with an application

Jitka Dupačová (2010)

Kybernetika

In applications of geometric programming, some coefficients and/or exponents may not be precisely known. Stochastic geometric programming can be used to deal with such situations. In this paper, we shall indicate which stochastic programming approaches and which structural and distributional assumptions do not destroy the favorable structure of geometric programs. The already recognized possibilities are extended for a tracking model and stochastic sensitivity analysis is presented in the context...

Strong-weak Stackelberg Problems in Finite Dimensional Spaces

Aboussoror, Abdelmalek, Loridan, Pierre (1995)

Serdica Mathematical Journal

We are concerned with two-level optimization problems called strongweak Stackelberg problems, generalizing the class of Stackelberg problems in the strong and weak sense. In order to handle the fact that the considered two-level optimization problems may fail to have a solution under mild assumptions, we consider a regularization involving ε-approximate optimal solutions in the lower level problems. We prove the existence of optimal solutions for such regularized problems and present some approximation...

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