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

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/2513 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/2513 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/2513 archive 351 disk0/00/00/24/72 2016-01-15 01:54:50 2021-08-27 17:11:52 2016-01-15 01:54:50 monograph show 2 Ermoliev Y.M. 1445 Gaivoronski A.A. 1003 Duality Relations and Numerical Methods for Optimization Problems on the Space of Probability Measures with Constraints on Probability Densities pub iis_met prog_ado 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. 1984-06 published WP-84-046 WP-84-046 338 1273 public working_paper IIASA, Laxenburg, Austria 23 FALSE info:eu-repo/semantics/book