Discrete approximations for strict convex continuous time problems and duality

Detalhes bibliográficos
Autor(a) principal: Andreani,R.
Data de Publicação: 2004
Outros Autores: Gonçalves,P. S., Silva,G. N.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Computational & Applied Mathematics
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-03022004000100005
Resumo: 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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spelling Discrete approximations for strict convex continuous time problems and dualityLinear Quadratic problemsContinuous time optimizationdiscrete approximationstrict convexityWe 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.Sociedade Brasileira de Matemática Aplicada e Computacional2004-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-03022004000100005Computational & Applied Mathematics v.23 n.1 2004reponame:Computational & Applied Mathematicsinstname:Sociedade Brasileira de Matemática Aplicada e Computacional (SBMAC)instacron:SBMACinfo:eu-repo/semantics/openAccessAndreani,R.Gonçalves,P. S.Silva,G. N.eng2004-11-26T00:00:00Zoai:scielo:S1807-03022004000100005Revistahttps://www.scielo.br/j/cam/ONGhttps://old.scielo.br/oai/scielo-oai.php||sbmac@sbmac.org.br1807-03022238-3603opendoar:2004-11-26T00:00Computational & Applied Mathematics - Sociedade Brasileira de Matemática Aplicada e Computacional (SBMAC)false
dc.title.none.fl_str_mv Discrete approximations for strict convex continuous time problems and duality
title Discrete approximations for strict convex continuous time problems and duality
spellingShingle Discrete approximations for strict convex continuous time problems and duality
Andreani,R.
Linear Quadratic problems
Continuous time optimization
discrete approximation
strict convexity
title_short Discrete approximations for strict convex continuous time problems and duality
title_full Discrete approximations for strict convex continuous time problems and duality
title_fullStr Discrete approximations for strict convex continuous time problems and duality
title_full_unstemmed Discrete approximations for strict convex continuous time problems and duality
title_sort Discrete approximations for strict convex continuous time problems and duality
author Andreani,R.
author_facet Andreani,R.
Gonçalves,P. S.
Silva,G. N.
author_role author
author2 Gonçalves,P. S.
Silva,G. N.
author2_role author
author
dc.contributor.author.fl_str_mv Andreani,R.
Gonçalves,P. S.
Silva,G. N.
dc.subject.por.fl_str_mv Linear Quadratic problems
Continuous time optimization
discrete approximation
strict convexity
topic Linear Quadratic problems
Continuous time optimization
discrete approximation
strict convexity
description 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.
publishDate 2004
dc.date.none.fl_str_mv 2004-01-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-03022004000100005
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-03022004000100005
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Sociedade Brasileira de Matemática Aplicada e Computacional
publisher.none.fl_str_mv Sociedade Brasileira de Matemática Aplicada e Computacional
dc.source.none.fl_str_mv Computational & Applied Mathematics v.23 n.1 2004
reponame:Computational & Applied Mathematics
instname:Sociedade Brasileira de Matemática Aplicada e Computacional (SBMAC)
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instname_str Sociedade Brasileira de Matemática Aplicada e Computacional (SBMAC)
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reponame_str Computational & Applied Mathematics
collection Computational & Applied Mathematics
repository.name.fl_str_mv Computational & Applied Mathematics - Sociedade Brasileira de Matemática Aplicada e Computacional (SBMAC)
repository.mail.fl_str_mv ||sbmac@sbmac.org.br
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