Dynamics aggregation in stochastic control problems

DOI10.1023/A:1004697208384zbMath0973.90519MaRDI QIDQ1586806

R. Smith

Publication date: 21 November 2001

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic controlconstraint aggregationstate-control constraintsvector space methods

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic models in economics (91B70)

Cites Work

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• Measures as Lagrange multipliers in multistage stochastic programming
• Constraint aggregation principle in convex optimization
• Duality for Stochastic Programming Interpreted as L. P. in $L_p $-Space
• Corrigendum: Lagrange Multipliers in Stochastic Programming

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