A variational problem determined by probability measures. (2nd January 2019)

• Record Type: Journal Article
• Authors: Artstein, Zvi
• Is Part Of: Optimization. Volume 68:Number 1(2019)
• Page Start: 81
• Page End: 98
• Publication Date: 2019-01-02
• Subjects: Optimal allocations -- singular perturbation limit -- optimal measures; Mathematical optimization -- Periodicals; 519.7
• DOI: 10.1080/02331934.2018.1495721
• Languages: English
• ISSNs: 0233-1934

Abstract

ABSTRACT: An optimization problem of maximizing an integral of a function over a family of probability measures is considered. The problem is a generalization of a well-studied variational problem in mathematical economics, concerning optimal allocations. The specific generalization that we examine arises also in the limit of singularly perturbed optimal control problems. We examine the mathematical problem and allude to the singular perturbation motivation.