Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time
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Publication:3200131
DOI10.1137/0328046zbMath0714.49036MaRDI QIDQ3200131
Roger J.-B. Wets, R. Tyrrell Rockafellar
Publication date: 1990
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4b07e0bb9a81db9642bd5489533f826111d3af94
stochastic programming; dynamic programming; intertemporal optimization; discrete-time optimal control; finite generation method; large-scale linear and quadratic programming
90C20: Quadratic programming
90C15: Stochastic programming
93C55: Discrete-time control/observation systems
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
49N15: Duality theory (optimization)
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