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.
Main Authors: | , , |
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Format: | Digital revista |
Language: | English |
Published: |
Sociedade Brasileira de Matemática Aplicada e Computacional
2004
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Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-03022004000100005 |
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