A new look at the Lagrange method for continuous-time stochastic optimization
文献类型：期刊论文
| 作者 | Cheng Xue2; Yan JiaAn1
|
| 刊名 | SCIENCE CHINA-MATHEMATICS
 |
| 出版日期 | 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 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/55807]  |
| 专题 | 应用数学研究所 |
| 作者单位 | 1.中国科学院数学与系统科学研究院 2.北京大学 |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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