Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time
R. TYRRELL ROCKAFELLAR, Roger J.‐B. Wets · SIAM Journal on Control and Optimization · 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 terms of saddlepoints. Optimality conditions are derived in a form that emphasizes the possibilities of decomposition.