Discrete approximations for strict convex continuous time problems and duality
We propose a discrete approximation scheme to a class of Linear Quadratic Continuous Time Problems. It is shown, under positiveness of the matrix in the integral cost, that optimal solutions of the discrete problems provide a sequence of bounded variation functions which converges almost everywhere...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2004 |
| País: | Brasil |
| Institución: | Universidade Estadual Paulista (UNESP) |
| Repositorio: | Repositório Institucional da UNESP |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.unesp.br:11449/34247 |
| Acceso en línea: | http://www.scielo.br/scielo.php?pid=S1807-03022004000100005&script=sci_arttext http://hdl.handle.net/11449/34247 |
| Access Level: | acceso abierto |
| Palabra clave: | Linear Quadratic problems Continuous time optimization discrete approximation strict convexity |
| Sumario: | We propose a discrete approximation scheme to a class of Linear Quadratic Continuous Time Problems. It is shown, under positiveness of the matrix in the integral cost, that optimal solutions of the discrete problems provide a sequence of bounded variation functions which converges almost everywhere to the unique optimal solution. Furthermore, the method of discretization allows us to derive a number of interesting results based on finite dimensional optimization theory, namely, Karush-Kuhn-Tucker conditions of optimality and weak and strong duality. A number of examples are provided to illustrate the theory. |
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