Generalized linear-quadratic problems of deterministic and stochastic optimal control in discrete time (1990)
| Venue: | SIAM J. Control Opt |
| Citations: | 31 - 7 self |
BibTeX
@ARTICLE{Rockafellar90generalizedlinear-quadratic,
author = {R. T. Rockafellar and R. J-b. Wets},
title = {Generalized linear-quadratic problems of deterministic and stochastic optimal control in discrete time},
journal = {SIAM J. Control Opt},
year = {1990},
pages = {810--822}
}
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Abstract
Abstract. 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.
