Stochastic optimization over a Pareto set associated with a stochastic multi-objective optimization problem
type: Item
instance of: scholarly article
title: Stochastic optimization over a Pareto set associated with a stochastic multi-objective optimization problem
zbMATH Open document ID: 1323.90044
author: S. Bolintinéanu
author: Julien Collonge
published in: Journal of Optimization Theory and Applications
publication date: 2014-11-03T00:00:00Z
review text: A problem of minimization of the expectation of a real random function is considered where the feasible region is a Pareto set of a stochastic optimization problem. The objectives of the latter are expectations of random functions. A method of the type of sample average approximation is developed. The almost sure convergence of the proposed method is proved in the case of strict convexity of the involved stochastic multi-objective problem. A similar result is proved also without a convexity assumption, however, in that case the convergence of the approximate solutions in the image space is considered. An illustrative example is included.
reviewed by: Antanas Žilinskas
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C29
zbMATH DE Number: 6363584
zbMATH Keywords: stochastic optimization
zbMATH Keywords: multi-objective optimization
zbMATH Keywords: sample average approximation method
MaRDI profile type: Publication
full work available at URL: s10957-013-0367-8
OpenAlex ID: W2071017454
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DOI: 10.1007/S10957-013-0367-8
description: scientific article; zbMATH DE number 6363584