eprintid: 13950
rev_number: 6
eprint_status: archive
userid: 5
dir: disk0/00/01/39/50
datestamp: 2016-11-16 14:18:43
lastmod: 2021-08-27 17:28:01
status_changed: 2016-11-16 14:18:43
type: article
metadata_visibility: show
item_issues_count: 2
creators_name: Rockafellar, R.T.
creators_name: Wets, R.
creators_id: AL0338
creators_id: AL1370
title: Deterministic and stochastic optimization problems of bolza type in discrete time
ispublished: pub
divisions: prog_sds
abstract: In this paper we consider deterministic and stochastic versions of discrete time analogs of optimization problems of the Bolza type. The functionals are assumed to be convex, but we make no differentiability assumptions and allow for the explicit or implicit presence of constraints both on the state xt and the increments△x t. The deterministic theory serves to set the stage for the stochastic problem. We obtain optimality conditions that are always sufficient and which are also necessary if the given problem satisfies a strict feasibility condition and, in the stochastic case, a bounded recourse condition. This is a new condition that bypasses the uniform boundedness restrictions encountered in earlier work on related problems.
date: 1983
date_type: published
publisher: Taylor & Francis
id_number: 10.1080/17442508308833276
creators_browse_id: 2336
creators_browse_id: 2512
full_text_status: none
publication: Stochastics
volume: 10
number: 3-4
pagerange: 273-312
refereed: TRUE
issn: 0090-9491
coversheets_dirty: FALSE
fp7_type: info:eu-repo/semantics/article
citation:   Rockafellar, R.T. <https://pure.iiasa.ac.at/view/iiasa/2336.html> & Wets, R. <https://pure.iiasa.ac.at/view/iiasa/2512.html>  (1983).  Deterministic and stochastic optimization problems of bolza type in discrete time.   Stochastics 10 (3-4) 273-312. 10.1080/17442508308833276 <https://doi.org/10.1080/17442508308833276>.