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Lagrange Multipliers in Stochastic Programming
SIAM Journal on Control and Optimization, 1992Finite horizon stochastic programs typically come in the following general form: (P1) minimize the overall expected cost \(Ef(w,x_ 1(w),\dots,x_ T(w))\) by making, sequentially, at each state \(w\) of the world. The purpose of this paper is to characterize locally optimal solutions to problem (P1) in terms of the so-called Lagrange multipliers or Kuhn-
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On LICQ and the uniqueness of Lagrange multipliers
Operations Research Letters, 2013Abstract Kyparisis proved in 1985 that a strict version of the Mangasarian–Fromovitz constraint qualification (MFCQ) is equivalent to the uniqueness of Lagrange multipliers. However, the definition of this strict version of MFCQ requires the existence of a Lagrange multiplier and is not a constraint qualification (CQ) itself.
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Simplifying the variational iteration method: A new approach to obtain the Lagrange multiplier
Mathematics and Computers in Simulation, 2023Saurabh Tomar +2 more
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The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note
American Statistician, 1982A Buse
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