Average Relaxations of Extremal Problems

Anatoliy M. Tsirlin and Valdimir Kazakov

No 100, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: In this paper extremal problems that include averaging operation in constraints and objective are considered. The relaxation caused by a replacement of a problem without averaging with a problem that includes averaging is formally defined and investigated. Canonical form for nolinear programming problem with averaging is constructed and its conditions for optimality are derived. It is shown how optimality conditions for optimal control problems with various types of objectives and constraints can be derived using its averaged relaxation.

Keywords: averaging; constraint relaxation; nonlinear programming; optimal control problem; optimality conditions (search for similar items in EconPapers)
Pages: 18 pages
Date: 2003-06-01
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