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Stochastic optimisation: sensitivity and Delta Theorem
Author(s) -
Lachout Petr
Publication year - 2005
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200510337
Subject(s) - sensitivity (control systems) , delta , mathematics , physics , engineering , electronic engineering , astronomy
The contribution investigates stability of a stochastic optimisation problem to a random perturbation. We work with bounded real functions under general setting. Stability is investigated by means of Delta Theorem. That is possible and convenient since the infimum mapping is Hadamard directionally differentiable. (© 2005 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)