Constraint aggregation in infinite-dimensional spaces and applications

Kryazhimskiy AV & Ruszczynski A (2001). Constraint aggregation in infinite-dimensional spaces and applications. Mathematics of Operations Research 26 (4): 769-795. DOI:10.1287/moor.26.4.769.10009.

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Abstract

An aggregation technique for constraints with values in Hilbert spaces is suggested. The technique allows us to replace the original optimization problem by a sequence of subproblems having scalar or finite-dimensional constraints. Applications to optimal control, games, and stochastic programming are discussed in detail.

Item Type: Article
Uncontrolled Keywords: Constrained optimization in vector spaces; Aggregation; Optimal control; Games; Stochastic programming
Research Programs: Dynamic Systems (DYN)
Bibliographic Reference: Mathematics of Operations Research; 26(4):769-795 (1 November 2001)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:13
Last Modified: 26 Feb 2016 10:19
URI: http://pure.iiasa.ac.at/6350

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