Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time

@inproceedings{Rockafellar1990GeneralizedLP,
  title={Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time},
  author={R. Tyrrell Rockafellar and R. J-B. Wets},
  year={1990}
}
Two fundamental classes of problems in large-scale linear and quadratic programming are described. Multistage problems covering a wide variety of models in dynamic programming and stochastic programming are represented in a new way. Strong properties of duality are revealed which support the development of iterative approximate techniques of solution in… CONTINUE READING