Deterministic and stochastic optimization problems of bolza type in discrete time
作者:
R. T. Rockafellart,
R. J. B Wetst,
期刊:
Stochastics
(Taylor Available online 1983)
卷期:
Volume 10,
issue 3-4
页码: 273-312
ISSN:0090-9491
年代: 1983
DOI:10.1080/17442508308833276
出版商: Gordon and Breach Science Publishers Inc,
数据来源: Taylor
摘要:
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 xtand the increments△xt. 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.
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