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Existence of measurable optima in stochastic nonlinear programming and control

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Abstract

Recently W. Heilmann proved that a certain class of stochastic linear programs possesses an optimal solution which depends on the random parameter in a measurable way, and that the optimal value is measurable. We prove a result of this type for much more general problems, including stochastic nonlinear programming and stochastic optimal control problems.

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Authors and Affiliations

  1. Institut für Mathematik, Johannes-Kepler-Universität, A-4040, Linz, Austria

    Heinz W. Engl

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  1. Heinz W. Engl
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Communicated by J. Stoer

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Engl, H.W. Existence of measurable optima in stochastic nonlinear programming and control. Appl Math Optim 5, 271–281 (1979). https://doi.org/10.1007/BF01442558

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  • DOI: https://doi.org/10.1007/BF01442558

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