Linear Optimal Control Problems and Generalized Linear Programs

Linear optimal control problems with state inequality constraints is an important class of large systems. This paper shows that a generalized programming formulation of these problems does not result in a decomposition over time or a maximum principle as it does for problems without the state constraints. A semi-infinite generalized programming formulation, however, can be used to formally produce the maximum principle, i.e. the necessary optimality conditions, for problems under consideration

Year of publication:	2015
Authors:	Dantzig (deceased), George B. ; Sethi, Suresh
Publisher:	[S.l.] : SSRN
Subject:	Mathematische Optimierung \| Mathematical programming \| Kontrolltheorie \| Control theory

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