A General Linea-Quadratic Optimization Problem

Y. Y. Fan and R. E. Kalaba
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Y. Y. Fan: University of California
R. E. Kalaba: University of Southern California

Journal of Optimization Theory and Applications, 2005, vol. 127, issue 3, No 4, 485-496

Abstract: Abstract A linear-quadratic optimization problem is formulated in a dynamic programming manner. An updating formula for obtaining the solutions to such a problem is provided and illustrated using a few simple examples. This updating formula is also compared to a well-known updating formula for obtaining the inverses of symmetric positive-definite matrices. Numerical results are given.

Keywords: Dynamic programming; optimization; optimal production problems; linear-quadratic problems (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10957-005-7497-6

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