SOLUTION EXISTENCE FOR TIME-VARYING INFINITE-HORIZON QUADRATIC-PROGRAMMING

被引：2

作者：

SCHOCHETMAN, IE

SMITH, RL

TSUI, SK

机构：

[1] UNIV MICHIGAN,DEPT IND & OPERAT ENGN,ANN ARBOR,MI 48109

[2] OAKLAND UNIV,DEPT MATH SCI,ROCHESTER,MI 48309

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 1995年 / 195卷 / 01期

关键词：

D O I：

10.1006/jmaa.1995.1347

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider a general, time-varying, infinite horizon, pure quadratic programming problem with positive-definite cost matrices and unbounded decision variables. Sufficient conditions are provided for there to exist an optimal solution. Specifically, we show that if the eigenvalues of the cost matrices are bounded away from zero, then a (unique) optimal solution exists. We apply our results to the infinite horizon LQ tracker problem in optimal control theory, (C) 1995 Academic Press, Inc.

引用

页码：135 / 147

页数：13

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