Dynamics aggregation in stochastic control problems

DOI10.1023/A:1004697208384MaRDI QIDQ1586806zbMATH OpenFDO

Authors R. Smith

Publication date 21 November 2001

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

Full work available at URL https://doi.org/10.1023/A:1004697208384

zbMATH Keywords

constraint aggregationstate-control constraintsstochastic controlvector space methods

Mathematics Subject Classification ID

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

Cites work

• Constraint aggregation principle in convex optimization
• Corrigendum: Lagrange Multipliers in Stochastic Programming
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• Measures as Lagrange multipliers in multistage stochastic programming

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