Constraint Aggregation in Infinite-Dimensional Spaces and Applications

A.V. Kryazhimskii and Andrzej Ruszczynski ()

Working Papers from International Institute for Applied Systems Analysis

Abstract: An aggregation technique for constraints with values in Hilbert spaces is suggested. The technique allows to replace the original optimization problem by a sequence of subproblems having scalar or finite-dimensional constraints. Application to optimal control, games and stochastic programming are discussed in detail.

Date: 1997-08
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