Discrete approximations for strict convex continuous time problems and duality
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.
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Digital revista |
| Language: | English |
| Published: |
Sociedade Brasileira de Matemática Aplicada e Computacional
2004
|
| Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-03022004000100005 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|