Discrete approximations for strict convex continuous time problems and duality

AUTOR(ES)

Andreani, R., Gonçalves, P. S., Silva, G. N.

FONTE

Computational & Applied Mathematics

DATA DE PUBLICAÇÃO

2004

RESUMO

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.

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