Article ID: | iaor2003798 |
Country: | Germany |
Volume: | 54 |
Issue: | 2 |
Start Page Number: | 217 |
End Page Number: | 237 |
Publication Date: | Jan 2001 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Taksar M.I., Evstigneev I.V. |
The paper analyzes stochastic optimization problems involving random fields on infinite directed graphs. The primary focus is on a problem of maximizing a concave functional of the field subject to a system of convex and linear constraints. The latter are specified in terms of linear operators acting in the space