Optimal solution approximation for infinite positive-definite quadratic programming

DOI10.1007/BF02192225MaRDI QIDQ1897449zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 27 August 1995

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02192225

zbMATH Keywords

infinite-horizon optimizationLQ control problemoptimal solutionpositive-definite costspositive-definite quadratic programmingsolution approximationstime-varying systems

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Quadratic programming (90C20)

Review text

We consider a general doubly-infinite, positive-definite, quadratic programming problem. We show that the sequence of unique optimal solutions to the natural finite-dimensional subproblems strongly converges to the unique optimal solution. This offers the opportunity to arbitrarily well approximate the infinite-dimensional optimal solution by numerically solving a sufficiently large finite-dimensional version of the problem. We then apply our results to a general time-varying, infinite-horizon, positive-definite, LQ control problem.

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Cites work

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Cited in

(9)

• Optimal solution characterization for infinite positive semi-definite programming
• A path following algorithm for infinite quadratic programming on a Hilbert space
• Infinite positive-definite quadratic programming in a Hilbert space
• Algorithms for infinite quadratic programming in \(L_p\) spaces
• Solution approximation in infinite horizon linear quadratic control
• scientific article; zbMATH DE number 1099087 (Why is no real title available?)
• A cutting plane approach to solving quadratic infinite programs on measure spaces.
• Quadratic programming with one quadratic constraint in Hilbert spaces
• Infinite networks and quadratic optimal control

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