Existence of measurable optima in stochastic nonlinear programming and control |
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Authors: | Heinz W Engl |
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Institution: | (1) Institut für Mathematik, Johannes-Kepler-Universität, A-4040 Linz, Austria |
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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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