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

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/3049 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/3049 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/3049 archive 351 disk0/00/00/30/00 2016-01-15 01:58:04 2021-08-27 17:13:02 2016-01-15 01:58:04 monograph show 2 Rockafellar R.T. AL0338 Wets R.J.-B. AL1370 Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time pub iis_met iis_sys prog_ado 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. 1987-06 published WP-87-052 WP-87-052 10 2336 2512 public working_paper IIASA, Laxenburg, Austria 22 FALSE info:eu-repo/semantics/book