Rockafellar, R. T.; Wets, R. J.-B. Generalized linear-quadratic problems of deterministic and stochastic optimal control in discrete time. (English) Zbl 0714.49036 SIAM J. Control Optimization 28, No. 4, 810-822 (1990). 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. Cited in 1 ReviewCited in 39 Documents 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 Keywords:discrete-time optimal control; intertemporal optimization; finite generation method; large-scale linear and quadratic programming; dynamic programming; stochastic programming PDFBibTeX XMLCite \textit{R. T. Rockafellar} and \textit{R. J. B. Wets}, SIAM J. Control Optim. 28, No. 4, 810--822 (1990; Zbl 0714.49036) Full Text: DOI Link