Publication details

Journal Article

Approximative solutions of stochastic optimization problem

Lachout Petr

: Kybernetika vol.46, 3 (2010), p. 513-523

: CEZ:AV0Z10750506

: GA201/08/0539, GA ČR

: Stochastic optimization problem, sensitivity, approximative solution

: http://library.utia.cas.cz/separaty/2010/SI/lachout-approximative solutions of stochastic optimization problem.pdf

(eng): The aim of this paper is to present some ideas how to relax the notion of the optimal solution of the stochastic optimization problem. In the deterministic case, $/varepsilon $-minimal solutions and level-minimal solutions are considered as desired relaxations. We call them approximative solutions and we introduce some possibilities how to combine them with randomness. Relations among random versions of approximative solutions and their consistency are presented in this paper. No measurability is assumed, therefore, treatment convenient for nonmeasurable objects is employed.

: BA