Sensitivity to σ-fields of information in stochastic allocation>

Abstract

The role of σ-fields of information available in stochastic allocation problems is examined. The σ-fields determine the structure with respect to which admissible policies are measurable. Convergence of these information structures is introduced, and compared with other notions available in the literature. The dependence of the optimal values and optimal solutions of the stochastic allocation problems, on the information structures, is studied

Keywords:

• Stochastic allocation
• convergence of σ-fields
• epi-convergence
• solution sensitivity

^† Research supported by a grant from the U.S.-Israel Binational Science Foundation.

^* Incumbent of the Hettie H. Heineman Professorial Chair in Mathematics.

^† Research supported by a grant from the U.S.-Israel Binational Science Foundation.

^* Incumbent of the Hettie H. Heineman Professorial Chair in Mathematics.

Notes

^† Research supported by a grant from the U.S.-Israel Binational Science Foundation.

^* Incumbent of the Hettie H. Heineman Professorial Chair in Mathematics.