Lagrangean Methods and Optimal Stopping
Francisco Javier López, Maxi San Miguel, Gerardo Sanz · Optimization · 1995
A general lagrangean approach is used to study the optimal stopping problem with constraints for processes indexed by N and N2The class of problems is sufficiently general to include several specific types of constrained problems which have appeared in the literature. The concepts of perturbations, primal and dual problem and saddle points are introduced and some conditions for optimality are given, for example for the question of existence of a saddle point in the associated lagrangean primal-dual problem. Some applications of this general method to particular probleins are shown