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Nonanticipativity in stochastic programming

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Abstract

The paper gives strong duality results in multistage stochastic programming without assuming compactness and without applying induction arguments.

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References

  1. Rockafellar, R. T., andWets, R. J. R. Nonanticipativity and L 1-Martingales in Stochastic Optimization Problems. Mathematical Programming Study 6, pp. 170–187, 1976.

  2. Rockafellar, R. T.,Integrals Which Are Convex Functionals, II, Pacific Journal of Mathematics, Vol. 39, pp. 439–469, 1971.

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  3. Rockafellar, R. T.,Extension of Fenchel's Duality Theorem for Convex Functions, Duke Mathematical Journal, Vol. 33, pp. 81–89, 1966.

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Authors and Affiliations

  1. Department of Science and Technology, C. Michelsen Institute, Bergen, Norway

    S. D. Flåm (Senior Scientist)

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  1. S. D. Flåm
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Communicated by P. Varaiya

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Flåm, S.D. Nonanticipativity in stochastic programming. J Optim Theory Appl 46, 23–30 (1985). https://doi.org/10.1007/BF00938756

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  • DOI: https://doi.org/10.1007/BF00938756

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