Paul J. Schweitzer, Alan G. Konheim
Stochastic Processes and their Applications
Paper
Optimization with an approximate Lagrangian
Abstract
An error analysis is provided for discrete Lagrangian cell problems where the exact objective function for each cell is approximated by a simpler expression. Easily-calculated rigorous and heuristic bounds are given for the error in the value of the objective function. The solution itself, however, can be significantly distorted. © 1974 The Mathematical Programming Society.