| 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.