Vector stochastic optimization problems
A vector of probability functions \(F_i(\varphi_i,x)=P(g_i(x,\xi)\leq\varphi_i)\) is considered as a vector objective function, where \(g_i(\cdot)\) are quasi-convex and \(g_i(\cdot,\xi)\) are lower semicontinuous for every \(\xi \in \mathbb{R}^m\), and \(\xi\) is a random vector. The feasible region of the decision vector \(x\) is supposed to be a convex and compact subset of \(\mathbb{R}^n\). A scalarisation method is proposed. The solutions for the models defined by the empirical estimates of the probability distribution involved are studied. The convergence of such solutions to the true ones is proved. Adequacy of the proposed model to financial applications is discussed. For the entire collection see [Zbl 0961.00019].
- A differential equations approach for solving stochastic vector optimization problem having change-constraints
- A remark on multiobjective stochastic optimization via strongly convex functions
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- Generic consistency for approximate stochastic programming and statistical problems
- Classification of vector optimization problems with uncertain factors
- Stochastic method for the solution of unconstrained vector optimization problems
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