A Unified Framework for Linear Control Problems with State Variable Inequality Constraints
Journal of Optimization Theory and Applications, Vol. 36, No. 1, pp. 93-109, January 1982
18 Pages Posted: 24 Jun 2009 Last revised: 9 May 2017
Date Written: January 1, 1982
Abstract
This paper briefly reviews the literature on necessary optimality conditions for optimal control problems with state-variable inequality constraints. Then, it attempts to unify the treatment of linear optimal control problems with state variable inequality constraints in the framework of continuous linear programming. The duality theory in this framework makes it possible to relate the adjoint variables arising in different formulations of a problem; these relationships are illustrated by the use of a simple example. This framework also allows more general problems and admits a simplex-like algorithm to solve these problems.
Keywords: Linear optimal control problems, inequality constraints, continuous linear programming, simplex like algorithm, Lagrangian construction, duality
JEL Classification: C61
Suggested Citation: Suggested Citation