摘要
证明了带随机过程的随机规划问题其最优解集中至少存在一列最优解均为可测的随机过程;且如果问题中的随机过程具有平稳性与马氏性,则此时问题的最优解过程亦具有相应的特性。
It is proved that there exist at least a countable number of optimal solutions in the optimal solution set of general stochastic programming problem with random processes, these optimal solutions are measurable random processes. Based on this result, it is then proved that the relative optimal solutions processes are stationary, Markovian stochastic processes ifthe stochastic processes in the discussed problem have the same properties.
出处
《纯粹数学与应用数学》
CSCD
1996年第1期88-92,共5页
Pure and Applied Mathematics
关键词
随机规划
随机过程
平稳性
马氏性
最优解过程
stochastic programming
random processes
measurability
stationary and Markov properties
