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An existence theorem for optimal stochastic programming

Published online by Cambridge University Press:  09 April 2009

A. W. J. Stoddart
A. W. J. Stoddart
Affiliation:
University of Otago Dunedin, New Zealand
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In [4], Hanson has obtained necessary conditions and sufficient conditions for optimality of a program in stochastic systems. However, in many cases, especially in a general treatment, a program satisfying these conditions cannot be determined explicitly, so that the question of existence of an optimal program in such systems is significant. In this paper, we obtain conditions sufficient for existence of an optimal program by applying the direct methods of the calculus of variations [9], [6] and the theory of optimal control [7], [5].

Information

Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 8 , Issue 1 , February 1968 , pp. 114 - 118
Copyright
Copyright © Australian Mathematical Society 1968

References

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