On the Minimization of a Quadratic Functional Subject to a Continuous Family of Linear Inequality Constraints
Grace Wahba · SIAM Journal on Control · 1973
The problem of minimizing a positive definite quadratic functional subject to a continuous family of linear inequality constraints is studied. Upper and lower bounds are given for the value of the functional at the minimum. In certain cases, the given bounds coincide, and an explicit formula for the solution is given. Convergence rates for a sequence of (computable) approximate solutions obtained by discretizing the constraint set are established.