带随机过程的随机规划问题最优解集的过程特性与稳定性  

PROCESS PROPERTIES AND STABILITY OF OPTIMAL SOLUTIONS AND VALUES OF STOCHASTIC PROGRAMMINGS WITH RANDOM PROCESSES

作　　者：陈志平[1] 高勇[1] 

机构地区：[1]西安交通大学理学院数学系,西安710049

出　　处：《应用数学学报》1997年第3期466-472,共7页Acta Mathematicae Applicatae Sinica

摘　　要：本文证明了带随机过程的随机规划问题最优解集做为集值随机过程的可测性、可测最优解选择过程的存在性．研究了最优解集过程的平稳性、马氏性以及最优值过程的鞅性和最优解集过程的集值勒性．最后，讨论了在有限维分布意义下最优解集过程对所含随机过程参数的连续性以及最优值过程的稳定性．In this paper, the optimal solutions set of a stochastic programming problem is studied as a set-valued stochastic process, its measurability and existence of measurable selections are proved. The stationary property, Markoy Property and martingale property of the optimal solution sets process are discussed. The continuous dependence of the optimal solutions set process on the random process parameters and the stability of the optimal value process are also demonstrated.

关 键 词：随机规划 最优解集过程 稳定性 随机过程 

分 类 号：O221.5[理学—运筹学与控制论] O211.6[理学—数学]