Stochastic Programming: Non-Anticipativity and Lagrange Multipliers

Igor Evstigneev and Sjur Flåm

Norway; Department of Economics, University of Bergen from Department of Economics, University of Bergen

Abstract: 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...

Keywords: LAGRANGE MULTIPLIERS; STOCHATIQUE PROGRAMS (search for similar items in EconPapers)
JEL-codes: C15 C29 C61 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2000
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Citations: View citations in EconPapers (5)

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