Duality Relations and Numerical Methods for Optimization Problems on the Space of Probability Measures with Constraints on Probability Densities

Ermoliev YM & Gaivoronski AA (1984). Duality Relations and Numerical Methods for Optimization Problems on the Space of Probability Measures with Constraints on Probability Densities. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-84-046

[img]
Preview
Text
WP-84-046.pdf

Download (495kB) | Preview

Abstract

In this paper, the authors look at some quite general optimization problems on the space of probabilistic measures. These problems originated in mathematical statistics but have applications in several other areas of mathematical analysis. The authors extend previous work by considering a more general form of the constraints, and develop numerical methods (based on stochastic quasigradient techniques) and some duality relations for problems of this type.

This paper is a contribution to research on stochastic optimization currently underway within the Adaptation and Optimization Project.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:54
Last Modified: 24 Mar 2017 10:17
URI: http://pure.iiasa.ac.at/2472

Actions (login required)

View Item View Item

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313