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Stochastic optimization for allocation problems with shortfall risk constraints

โœ Scribed by Roberto Casarin; Monica Billio


Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
481 KB
Volume
23
Category
Article
ISSN
1524-1904

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Sufficient conditions for optimal contro
โœ E. Galewska; A. Nowakowski ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 117 KB

## Abstract In this paper we derive sufficient conditions for optimal control problems with mixed control and state constraints by applying a dual approach to the dynamic programming. These conditions guarantee that a relative minimum is achieved. We seek an optimal pair in the class of those admis