Idempotent structures in optimization (Q5948390)

This survey may be considered as an abridged version of the monographs [\textit{V. N. Kolokoltsov} and \textit{V. P. Maslov}, ``Idempotent analysis and its applications to the optimal control'' (in Russian) (1994; Zbl 0857.49022); ``Idempotent analysis and its applications'' (English translation) (1998; Zbl 0941.93001)] updated with some of the more recent developments concerning the applications of this theory to several types of optimization problems. The general idea is to show first that (at least some of) the \textit{essentially nonlinear problems} in the theory of optimization, optimal control, differential equations, Hamilton-Jacobi equations and, according to the author, in many other fields, become ``linear'' when ``translated'' in the framework of ``idempotent mathematics''; secondly, one uses the (rather complicated and very abstract) formalism of ``idemptotent linear algebra'' and ``idempotent linear functional analysis'' to treat these problems. To illustrate this theory, the author presents in some detail certain results of this type concerning infinite extremals and turnpikes in dynamic optimization and mathematical economics, turnpikes for stochastic games, generalized solutions of HJB equations, jump stochastic perturbations of deterministic optimization problems, Pontryagin's Maximum Principle and the Bellman equation for multicriteria (Pareto) optimization problems, stochastic optimization and the HJB equation, turnpike for the infinite-dimensional HJB equation and, finally, on ``option pricing'' in mathematical economics.