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
	Cheng Xue 1; Yan JiaAn 2
刊名	SCIENCE CHINA-MATHEMATICS
	2012
卷号	55 期号:11 页码:2247-2258
关键词	VARIANCE PORTFOLIO SELECTION CONSTRAINTS stochastic optimization Lagrange method extremal point optional projection Frechet derivative subdifferential
ISSN号	1674-7283
其他题名	A new look at the Lagrange method for continuous-time stochastic optimization
英文摘要	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.
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]
语种	英语
CSCD记录号	CSCD:4716776
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/55807]
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.