Article ID: | iaor20041223 |
Country: | United States |
Volume: | 26 |
Issue: | 4 |
Start Page Number: | 769 |
End Page Number: | 795 |
Publication Date: | Nov 2001 |
Journal: | Mathematics of Operations Research |
Authors: | Kryazhimskii A.V., Ruszczynski A. |
Keywords: | control processes, game theory, programming: probabilistic |
An aggregation technique for constraints with values in Hilbert spaces is suggested. The technique allows us to replace the original optimization problem by a sequence of subproblems having scalar or finite-dimensional constraints. Applications to optimal control, games, and stochastic programming are discussed in detail.