Stochastic Programming: Non-Anticipativity and Lagrange Multipliers
AbstractIntroduction: Decision making under uncertainty can often be formalized as a stochastic program, constrained not merely in material terms, but also by limited information. The former type of constraints, accounting for material bound, is usually described by inequalities required to hold almost surely. The latter type, reflecting informational restrictions, often assumes the form of linear equations involving conditional expectation operators...
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Bibliographic InfoPaper provided by Department of Economics, University of Bergen in its series Norway; Department of Economics, University of Bergen with number 1100.
Length: 7 pages
Date of creation: 2000
Date of revision:
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Postal: Department of Economics, University of Bergen Fosswinckels Gate 6. N-5007 Bergen, Norway
Web page: http://www.uib.no/econ/
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LAGRANGE MULTIPLIERS ; STOCHATIQUE PROGRAMS;
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- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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- Borglin, Anders & Flåm, Sjur Didrik, 2007.
"Risk exchange as a market or production game,"
Working Papers in Economics
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- Flåm, Sjur Didrik & Koutsougeras, L., 2007. "Private Information, Transferable Utility, and the Core," Working Papers in Economics 04/07, University of Bergen, Department of Economics.
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- Flåm, S. D. & Ermoliev, Y. M., 2009.
"Investment, uncertainty, and production games,"
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