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Differential sensitivity of solutions of convex constrained optimal control problems for discrete systems

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Abstract

A family of optimal control problems for discrete systems that depend on a real parameter is considered. The problems are strongly convex and subject to state and control constraints. Some regularity conditions are imposed on the constraints.

The control problems are reformulated as mathematical programming problems. It is shown that both the primal and dual optimal variables for these problems are right-differentiable functions of a parameter. The right-derivatives are characterized as solutions to auxiliary quadratic control problems. Conditions of continuous differentiability are discussed, and some estimates of the rate of convergence of the difference quotients to the respective derivatives are given.

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Authors and Affiliations

  1. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    K. Malanowski (Professor)

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  1. K. Malanowski
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Communicated by E. Polak

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Malanowski, K. Differential sensitivity of solutions of convex constrained optimal control problems for discrete systems. J Optim Theory Appl 53, 429–449 (1987). https://doi.org/10.1007/BF00938948

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