R.T. Rockafellar and R.J-B Wets. Nonanticipativity and L -martingales in stochastic optimization problems. Mathematical Programming Study, 6:170--187, 1976.  Home/Search   Document Not in Database   Summary   Related Articles   Check

.... complete recourse is a type of constraint qualification that was used along with the strict to invoke the duality theorems which currently comprise the theoretical stochastic programming literature, brought about in the latter half of the 1970 s by Eisner and Olsen [3] and Rockafellar and Wets [10, 8, 12]. The approach here forgoes both strict feasibility and relatively complete recourse for a constraint qualification of a di#erent nature. The problem is said to have direction free feasibility if it is feasible and the recession cone of K 1 K 2 , K 1 K 2 ] # : K 2 for all ....

R.T. Rockafellar and R.J-B Wets. Nonanticipativity and L -martingales in stochastic optimization problems. Mathematical Programming Study, 6:170--187, 1976.

.... t should be measurable with respect to the oe algebra Sigma t Sigma, which is generated by the random vector ( 1 ; t ) If the decision process x = x 1 ; x T ) is adapted to the data process = 1 ; T ) in this way, we call the process x nonanticipative (cf. [27], 33] We shall be concerned with the following multistage stochastic program: 1.1) Minimize E[f 0 (x 1 ( x T ( subject to the constraints A t x t ( g t (x 1 ( x t Gamma1 ( t ( 1:2) x t ( 2 C t x t is Sigma t Gamma measurable 9 = Gamma ....

....at the beginning of Section 3. They enable, in particular, the formulation of (1.1) 1.2) as a linearly constrained convex programming problem in an L p space. This L p space (or vector) formulation of multistage stochastic programs has been studied in several papers (e.g. 4] 8] 14] 18] [27], 28] For further information on multistage models the reader is referred to [9] 12] 34] and to the recent overview [7] We also mention applications of multistage stochastic programs in mathematical economics [1] stochastic scheduling [3] finance [6] resource management [10] and power ....

R.T. Rockafellar and R.J.-B. Wets, Nonanticipativity and L 1 -martingales in stochastic optimization problems, Mathematical Programming Study 6 (1976), 170187.

No context found.

R.T. Rockafellar and R.J-B Wets. Nonanticipativity and L -martingales in stochastic optimization problems. Mathematical Programming Study, 6:170--187, 1976.

Online articles have much greater impact   More about CiteSeer.IST   Add search form to your site   Submit documents   Feedback  

CiteSeer.IST - Copyright Penn State and NEC