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Existence of measurable optima in stochastic nonlinear programming and control (1979)

Engl, Heinz W.

Springer

Applied mathematics & optimization 5 (1979), S. 271-281

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ISSN: 1432-0606

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics

Notes: 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.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01442558

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