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Generalized linear-quadratic problems of deterministic and stochastic optimal control in discrete time. (English) Zbl 0714.49036

Summary: Two fundamental classes of problems in large-scale linear and quadratic programming are described. Multistage problems covering a wide variety of models in dynamic programming and stochastic programming are represented in a new way. Strong properties of duality are revealed which support the development of iterative approximate techniques of solution in terms of saddlepoints. Optimality conditions are derived in a form that emphasizes the possibilities of decomposition.

MSC:

49N10 Linear-quadratic optimal control problems
90C20 Quadratic programming
93C55 Discrete-time control/observation systems
49N15 Duality theory (optimization)
93E20 Optimal stochastic control
90C15 Stochastic programming
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