Abstract We discuss a general framework of optimal stopping under constraints. We extend the Snell envelope and the characterization of optimal stopping times to our framework with constraints and give a condition which ensures the existence of a right-continuous version. We then study...

Among the penalty based approaches for constrained optimization, augmented Lagrangian (AL) methods are better in at least three ways: (i) they have theoretical convergence properties, (ii) they distort the original objective function minimally, thereby providing a better function landscape for...