Kybernetika 44 no. 2, 259-276, 2008

Stability of stochastic optimization problems - nonmeasurable case

Petr Lachout


This paper deals with stability of stochastic optimization problems in a general setting. Objective function is defined on a metric space and depends on a probability measure which is unknown, but, estimated from empirical observations. We try to derive stability results without precise knowledge of problem structure and without measurability assumption. Moreover, $\varepsilon$-optimal solutions are considered. The setup is illustrated on consistency of a $\varepsilon$-$M$-estimator in linear regression model.