Stochastic Programming: Non-Anticipativity and Lagrange Multipliers.

Introduction: Decision making under uncertainty can often be formalized as a stochastic program, constrained not merely in material terms, but also by limited information. The former type of constraints, accounting for material bound, is usually described by inequalities required to hold almost surely. The latter type, reflecting informational restrictions, often assumes the form of linear equations involving conditional expectation operators...

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Year of publication:	2000
Authors:	Evstigneev, I.V. ; Flam, S.D.
Institutions:	Institutt for Økonomi, Universitetet i Bergen
Subject:	LAGRANGE MULTIPLIERS \| STOCHATIQUE PROGRAMS

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Series:	Norway; Department of Economics, University of Bergen.
Type of publication:	Book / Working Paper
Notes:	7 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C29 - Econometric Methods: Single Equation Models. Other ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005675276