On Sensitivity in Optimal Control Problems

被引：8

作者：

Peterson, D. W. ^{[1
]}

机构：

[1] Northwestern Univ, Grad Sch Management, Evanston, IL USA

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 1974年 / 13卷 / 01期

关键词：

Sensitivity analysis; control theory; mathematical programming; method of multipliers; Banach spaces;

D O I：

10.1007/BF00935609

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Two types of interpretations of multipliers in both static and dynamic optimization problems are described. It is shown that the Lagrange multipliers encountered in mathematical programming problems and the auxiliary functions arising in Pontryagin-type optimal control problems sometimes have highly analogous interpretations as rates of change of the optimal attainable value of an objective function, or in some cases as bounds on average rates of change.

引用

页码：56 / 73

页数：18

共 9 条

[1] PERFORMANCE INDEX SENSITIVITY OF OPTIMAL CONTROL SYSTEMS [J].

COURTIN, P ;

ROOTENBE.J .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1971, AC16 (03) :275-&

[2]

DORFMAN R, 1969, AM ECON REV, V59, P817

[3]

Hestenes MR., 1966, CALCULUS VARIATIONS

[4]

Intriligator M. D., 1971, MATH OPTIMIZATION EC

[5]

Lee E. B., 1968, SIAM SERIES APPL MAT

[6]

Luenberger D.G., 1997, OPTIMIZATION VECTOR

[7]

PEFERSON DW, 1973, INT ECON REV, V14, P234

[8]

Wilde D.J., 1967, FDN OPTIMIZATION

[9]

Zangwill W. I., 1969, NONLINEAR PROGRAMMIN

← 1 →