Necessary Conditions for Continuous Parameter Stochastic Optimization Problems,

Abstract

The paper applied the abstract variational theory of Neustadt to obtain a stochastic maximum principle. Since the papers of Kushner on the stochastic maximum principle, a number of developments were reported by Brodeau, Baum, Fleming and Sworder. The versatile mathematical programming ideas were not used explicitly by Kushner, and with relative ease, the author was able to handle greater varieties of state space constraints then treated in the references. Even in the deterministic case, the ability to handle general constraints with relative ease gives the programming approach a distinct advantage over more direct approaches. (Author)

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1971
Accession Number
AD0720863

Entities

People

  • Harold J. Kushner

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Applied Mathematics
  • Computer Programming
  • Computing-Related Activities
  • Interdisciplinary Science
  • Mathematical Programming
  • Mathematics
  • Optimization

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Calculus or Mathematical Analysis

Technology Areas

  • Space