Accession Number : AD0720863

Title :   Necessary Conditions for Continuous Parameter Stochastic Optimization Problems,

Corporate Author : BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS

Personal Author(s) : Kushner,H. J.

Report Date : MAR 1971

Pagination or Media Count : 36

Abstract : The paper applied the abstract variational theory of Neustadt to obtain a stochastic maximum principle. Since the papers of Kushner on the stochastic maximum principle, a number of developments were reported by Brodeau, Baum, Fleming and Sworder. The versatile mathematical programming ideas were not used explicitly by Kushner, and with relative ease, the author was able to handle greater varieties of state space constraints then treated in the references. Even in the deterministic case, the ability to handle general constraints with relative ease gives the programming approach a distinct advantage over more direct approaches. (Author)

Descriptors :   (*CONTROL SYSTEMS, MATHEMATICAL MODELS), DIFFERENTIAL EQUATIONS, CALCULUS OF VARIATIONS, STOCHASTIC PROCESSES, CONVEX SETS, OPTIMIZATION, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE