Discrete approximations for strict convex continuous time problems and duality
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Coadvisor
Graduate program
Undergraduate course
Journal Title
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Publisher
Soc Brasileira Matematica Aplicada & Computacional
Type
Article
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Acesso aberto
Abstract
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.
Description
Keywords
Linear Quadratic problems, Continuous time optimization, discrete approximation, strict convexity
Language
English
Citation
Computational & Applied Mathematics. Sao Carlos Sp: Soc Brasileira Matematica Aplicada & Computacional, v. 23, n. 1, p. 81-105, 2004.
