Linear Optimal Control Problems and Generalized Linear Programs
The Journal of the Operational Research Society, Vol. 32, No. 6, pp. 467-476, June 1981
10 Pages Posted: 4 Jul 2009 Last revised: 21 Apr 2015
Date Written: 1981
Abstract
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.
Keywords: Linear Programming, generalized programming, maximum principle, semi-infinite programming, linear optimal control problems, optimal control, state constraints, necessary optimality conditions, Hamiltoinian, mathematical programming
JEL Classification: C61
Suggested Citation: Suggested Citation