On the convergence of measurable selections and an application to approximations in stochastic optimization

DOI10.4171/ZAA/199MaRDI QIDQ1084529zbMATH OpenFDO

Authors Werner Römisch

Publication date 1986

Published in Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/ZAA/199

zbMATH Keywords

distribution problemmeasurable multifunctionsmeasurable selectionsstochastic optimization

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Stochastic analysis (60H99) Stochastic programming (90C15)

Review text

Conditions are given that guarantee that a sequence (of sets) of measurable selections converges almost surely, in probability and in mean. These conditions are related to the convergence of the underlying sequence of measurable multifunctions. The results are applied to approximations for the so-called distribution problem of stochastic optimization.

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Cited in

(5)

• A stochastic approach to stability in stochastic programming
• Approximations of Stochastic Optimization Problems Subject to Measurability Constraints
• Measurable Selection Theorems for Minimax Stochastic Optimization Problems
• Multivalued limit laws applied to stochastic optimization
• Convergence of selections with applications in optimization

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