Multidimensional Dual Dynamic Programming

E. Galewska and A. Nowakowski
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E. Galewska: University of Lodz
A. Nowakowski: University of Lodz

Journal of Optimization Theory and Applications, 2005, vol. 124, issue 1, No 9, 175-186

Abstract: Abstract In this paper, we develop a dual approach to the dynamic programming for the optimal control problem in a multidimensional case. The idea of our method consists in defining, instead of the value function, a new function which satisfies a dual first-order partial differential equation of dynamic programming. We then prove a suitable verification theorem and introduce the concept of a dual feedback control. The sufficient optimality conditions thus obtained are analogous to their one-dimensional counterparts.

Keywords: Dual dynamic programming; dual feedback control; optimal control problems; sufficient optimality conditions (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10957-004-6471-z

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