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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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