Constraint Aggregation in Infinite-Dimensional Spaces and Applications [Updated January 1998]
Authors: Kryazhimskiy AV, Ruszczynski A
Publication Year: 1997
Reference: IIASA Interim Report IR-97-051
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.