Lagrange Multipliers in Stochastic Programming

DOI10.1137/0330001MaRDI QIDQ4006685zbMATH OpenOpenAlexFDO

Authors Sjur Didrik Flåm

Publication date 26 September 1992

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0330001

zbMATH Keywords

Lagrange multipliersconstraint qualificationsnonsmooth analysisKuhn-Tucker conditionslocally optimal solutionsfinite horizon stochastic programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimality conditions for problems involving randomness (49K45)

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Cited in

(14)

• Locally compactly Lipschitzian mappings in infinite dimensional programming
• Ergodicity and first passage probability of regime-switching geometric Brownian motions
• Corrigendum: Lagrange Multipliers in Stochastic Programming
• Extremum conditions for a multistep stochastic programming problem with smooth constraints
• Stability in multistage stochastic programming
• Variational formula for the stability of regime-switching diffusion processes
• A generalized karush-kuhn-tucki optimality condition without constraint qualification using tl approximate subdifferential
• Projection and discretization methods in stochastic programming
• Multiplier stabilization applied to two-stage stochastic programs
• scientific article; zbMATH DE number 3315802 (Why is no real title available?)
• scientific article; zbMATH DE number 176012 (Why is no real title available?)
• A Fritz John optimality condition using the approximate subdifferential
• Strong convergence of expected-projection methods in hilbert spaces
• Optimal growth models and the Lagrange multiplier

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