A new look at the Lagrange method for continuous-time stochastic optimization

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	A new look at the Lagrange method for continuous-time stochastic optimization
其他题名	A new look at the Lagrange method for continuous-time stochastic optimization
	Cheng Xue 1; Yan JiaAn2
	2012-01-01
发表期刊	SCIENCE CHINA-MATHEMATICS
ISSN	1674-7283
卷号	55 期号:11 页码:2247-2258
摘要	We formulate a Lagrange method for continuous-time stochastic optimization in an appropriate normed space by using a proper stochastic process as the Lagrange multiplier. The obtained optimality conditions are applied to different types of problems. Some examples selected from control theory and economic theory are studied to test and illustrate the potential applications of the method.
其他摘要	We formulate a Lagrange method for continuous-time stochastic optimization in an appropriate normed space by using a proper stochastic process as the Lagrange multiplier.The obtained optimality conditions are applied to different types of problems.Some examples selected from control theory and economic theory are studied to test and illustrate the potential applications of the method.
关键词	VARIANCE PORTFOLIO SELECTION CONSTRAINTS stochastic optimization Lagrange method extremal point optional projection Frechet derivative subdifferential
收录类别	CSCD
语种	英语
资助项目	[National Natural Science Foundation of China] ; [National Basic Research Program of China (973 Program)] ; [Science Fund for Creative Research Groups] ; [Key Laboratory of Random Complex Structures and Data Science]
CSCD记录号	CSCD:4716776
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/55808
专题	应用数学研究所
作者单位	1.北京大学 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Cheng Xue,Yan JiaAn. A new look at the Lagrange method for continuous-time stochastic optimization[J]. SCIENCE CHINA-MATHEMATICS,2012,55(11):2247-2258.
APA	Cheng Xue,&Yan JiaAn.(2012).A new look at the Lagrange method for continuous-time stochastic optimization.SCIENCE CHINA-MATHEMATICS,55(11),2247-2258.
MLA	Cheng Xue,et al."A new look at the Lagrange method for continuous-time stochastic optimization".SCIENCE CHINA-MATHEMATICS 55.11(2012):2247-2258.