Two maximization problems of Rényi entropy rate are investigated: the maximization over all stochastic processes whose marginals satisfy a linear constraint, and the Burg-like maximization over all stochastic processes whose autocovariance function begins with some given values. The solutions are related to the solutions to the analogous maximization problems of Shannon entropy rate.

Abstract This paper presents a column-and-constraint generation algorithm for two-stage stochastic programming problems. A distinctive feature of the is that it does not assume fixed recourse and as consequence values dimensions matrix can be uncertain. The proposed contains multi-cut (partial) Benders decomposition deterministic equivalent model special cases used to trade-off computational sp...

For stochastic control problems with mixed state-control constraints, we develop a dynamics aggregation method which replaces the stochastic differential or difference equation with a simpler constraint. Solutions of such simplified problems are used to construct a sequence of approximations to the original problem. Convergence properties of the method for both discrete-time and continuous-time...