Optimal solution approximation for infinite positive-definite quadratic programming (Q1897449)
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scientific article; zbMATH DE number 790564
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal solution approximation for infinite positive-definite quadratic programming |
scientific article; zbMATH DE number 790564 |
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Optimal solution approximation for infinite positive-definite quadratic programming (English)
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27 August 1995
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We consider a general doubly-infinite, positive-definite, quadratic programming problem. We show that the sequence of unique optimal solutions to the natural finite-dimensional subproblems strongly converges to the unique optimal solution. This offers the opportunity to arbitrarily well approximate the infinite-dimensional optimal solution by numerically solving a sufficiently large finite-dimensional version of the problem. We then apply our results to a general time-varying, infinite-horizon, positive-definite, LQ control problem.
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time-varying systems
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positive-definite costs
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infinite-horizon optimization
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solution approximations
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positive-definite quadratic programming
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optimal solution
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LQ control problem
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0.94309205
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0.9313296
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0.9128117
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0.91220677
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0.9107437
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0.9073178
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