Programmes mathématiques mixtes. Application au principe du maximum en temps discret dans le cas déterministe et dans le cas stochastique

Ph. Michel

RAIRO - Operations Research - Recherche Opérationnelle (1980)

  • Volume: 14, Issue: 1, page 1-19
  • ISSN: 0399-0559

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Michel, Ph.. "Programmes mathématiques mixtes. Application au principe du maximum en temps discret dans le cas déterministe et dans le cas stochastique." RAIRO - Operations Research - Recherche Opérationnelle 14.1 (1980): 1-19. <http://eudml.org/doc/104744>.

@article{Michel1980,
author = {Michel, Ph.},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {discrete time evolution systems; discrete time maximum principle; portofolio choice; necessary optimality conditions; mixed mathematical programming},
language = {fre},
number = {1},
pages = {1-19},
publisher = {EDP-Sciences},
title = {Programmes mathématiques mixtes. Application au principe du maximum en temps discret dans le cas déterministe et dans le cas stochastique},
url = {http://eudml.org/doc/104744},
volume = {14},
year = {1980},
}

TY - JOUR
AU - Michel, Ph.
TI - Programmes mathématiques mixtes. Application au principe du maximum en temps discret dans le cas déterministe et dans le cas stochastique
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 1980
PB - EDP-Sciences
VL - 14
IS - 1
SP - 1
EP - 19
LA - fre
KW - discrete time evolution systems; discrete time maximum principle; portofolio choice; necessary optimality conditions; mixed mathematical programming
UR - http://eudml.org/doc/104744
ER -

References

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  1. 1. M. ALBOUY, Régulation économique dans l'Entreprise, t. 2, Dunod, Paris, 1972. 
  2. 2. A. BENSOUSSAN, E. G. HURST Jr, et B. NASLUND, Management Applications of Modern Control Theory, North-Holland, 1974. Zbl0343.90001
  3. 3. I. V. EVSTIGNEEV, Optimal Stochastic Programs and Their Stimulating Prices in Mathematical Models in Economies, J. Los et M. W. Los éd., North-Holland, 1974, p. 219-252. Zbl0291.90048MR381650
  4. 4. I. V. EVSTIGNEEV, Lagrange Multipliers for the Problems of Stochastic Programming (to appear). Zbl0348.90123
  5. 5. R. V. GAMKRELIDZE, Optimal Sliding States, Soviet Math. Dokl., vol. 3, 1962, p. 559-562. Zbl0131.32402
  6. 6. H. HALKIN, Nonlinear Nonconvex Programming in an Infinite Dimensional Space, in Mathematical Theory of Control, A. V. BALAKRISHAN et L. W. NEUSTADT, éd., Academic Press, 1967, p. 10-25. Zbl0223.90032MR263427
  7. 7. J. M. HOLTZMAN et H. HALKIN, Directional Convexity and the Maximum Principle for Discrete Systems, J. S.I.A.M. Control, vol. 4, 1966, p. 263-275. Zbl0152.09302MR199008
  8. 8. P. MICHEL, Problème d'Optimisation défini par des fonctions qui sont somme de fonctions convexes et de fonctions dérivables, J. Math, pures et Appl., vol. 53, 1974, p. 321-330. Zbl0299.49007MR361983
  9. 9. L. W. NEUSTADT, An abstract Variational Theory with Applications to a Broad Class of Optimization Problems. I. General Theory, S.I.A.M. J. Control, vol. 4, 1966, p. 505-527. Zbl0166.09401MR216349

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