Three approaches for solving the stochastic multiobjective programming problem
[For the entire collection see Zbl 0744.00037.] The following multiobjective optimization problem \(\max f(x)\), \(f(x)=(f_ 1(x),\dots,f_ r(x))\) is considered. The values of \(f_ i(x)\) can be measured only with an addition noise: \(y_ i(x)=f_ i(x)+\eta_ i(x)\). In order to find Pareto optimal solutions three methods are proposed: (1) using learning automata, (2) random optimization in the sense of \textit{F. J. Solis} and \textit{R. J.-B. Wets} [Math. Oper. Res. 6, 19-30 (1981; Zbl 0502.90070)], (3) stochastic approximation. For all methods numerical examples are given.
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