DUALITY AND DECOMPOSITION FOR EXTENDED LINEAR-QUADRATIC STOCHASTIC CONTROL PROBLEMS IN DISCRETE TIME y

Abstract

New dual problems emphasizing decomposability are established for a general class of stochastic dynamic optimization problems, with piecewise linearquadratic objective function. Optimality conditions are derived which emphasize decomposition. The dual dynamics are conditioned on the available system state information, and this leads to a symmetry that is… (More)

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