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Type: Artigo de periódico
Title: Discrete approximations for strict convex continuous time problems and duality
Author: Andreani, R.
Gonçalves, P. S.
Silva, G. N.
Abstract: 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.
Subject: Linear Quadratic problems
Continuous time optimization
discrete approximation
strict convexity
Editor: Sociedade Brasileira de Matemática Aplicada e Computacional
Rights: aberto
Date Issue: 1-Jan-2004
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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