Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time

Rockafellar, R.T. & Wets, R.J.-B. (1987). Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-87-052

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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.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:58
Last Modified: 27 Aug 2021 17:13
URI: https://pure.iiasa.ac.at/3000

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