二层随机规划逼近解的收敛性

Convergence of approximate solutions in Bi-level stochastic programming

对二层随机规划的逼近解的收敛性作了探讨,证明了当随机向量序列{ξ(k)(ω)}依分布收敛于ξ(ω)时,相应于ξ(k)(ω)的二层随机规划问题的任何最优解序列将收敛到原问题的最优解.

This paper studied the convergence of approximate solutions for bi-level stochastic programming and proved that any optimum solution sequence of corresponding problems will converge to one of the optimum solutions of the original problem if random vector sequence {ξ^（k）（ω）} converges to ξ（ω）in distribution.