Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time

DOI10.1137/0328046zbMath0714.49036OpenAlexW1987064381MaRDI 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

zbMATH Keywords

stochastic programming dynamic programming intertemporal optimization discrete-time optimal control finite generation method large-scale linear and quadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Stochastic programming (90C15) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Duality theory (optimization) (49N15)

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