Constraint aggregation in infinite-dimensional spaces and applications

Constraint aggregation in infinite-dimensional spaces and applications

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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: ,
Keywords: control processes, game theory, programming: probabilistic
Abstract:

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.

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