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 ...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.展开更多
基金supported by National Natural Science Foundation of China (Grant No.11001029)the National Basic Research Program of China (973 Program) (Grant No. 2007CB814902)+1 种基金the Science Fund for Creative Research Groups (Grant No. 11021161)Key Laboratory of Random Complex Structures and Data Science (Grant No. 2008DP173182)
文摘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.
