A new look at the Lagrange method for continuous-time stochastic optimization
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Publication:1934408
DOI10.1007/s11425-012-4519-3zbMath1259.90081MaRDI QIDQ1934408
Publication date: 28 January 2013
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-012-4519-3
stochastic optimization; subdifferential; Fréchet derivative; optional projection; extremal point; Lagrange method
90C15: Stochastic programming
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