Lagrangean Methods and Optimal Stopping

DOI10.1080/02331939508844116MaRDI QIDQ4888277zbMATH OpenOpenAlexFDO

Authors

Publication date 14 January 1997

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331939508844116

zbMATH Keywords

Lagrangean functionoptimal stoppingsaddle pointtactics

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites work

• An optimal sequential policy for controlling a Markov renewal process
• Arret optimal avec contrainte
• Foundations of optimization
• scientific article; zbMATH DE number 3338194 (Why is no real title available?)
• On a constrained optimal stopping problem
• Optimal stopping and supermartingales over partially ordered sets
• Optimal Stopping with a Horizon Constraint
• Some time-invariant stopping rule problems
• Stopping rules and tactics for processes indexed by a directed set
• The job search problem as an employer–candidate game

Cited in

(6)

• A duality approach to problems of combined stopping and deciding under constraints
• Nonlinear PDE approach to time-inconsistent optimal stopping
• Perturbation methods in optimal stopping with average cost criterion
• Optimal stopping with expectation constraints
• Stochastic control/stopping problem with expectation constraints
• Bounds for a constrained optimal stopping problem

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