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

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Abstract

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.

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Authors and Affiliations

  1. School of Mathematical Sciences, Center for Statistical Science, Peking University, Beijing, 100871, China

    Xue Cheng

  2. Institute of Applied Mathematics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China

    JiaAn Yan

Authors
  1. Xue Cheng
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  2. JiaAn Yan
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Correspondence to JiaAn Yan.

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Cheng, X., Yan, J. A new look at the Lagrange method for continuous-time stochastic optimization. Sci. China Math. 55, 2247–2258 (2012). https://doi.org/10.1007/s11425-012-4519-3

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  • DOI: https://doi.org/10.1007/s11425-012-4519-3

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