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Strzała Krystyna (Uniwersytet Gdański)
Przegląd podstawowych algorytmów rozwiązywania liniowo-kwadratowych zadań sterowania optymalnego
Linear-Quadratic Optimal Control Models - Review of Basic Algorithms
Przegląd Statystyczny, 1996, vol. 43, z. 1-2, s. 83-96, bibliogr. 33 poz.
Statistical Review
Programowanie matematyczne, Teoria kontroli, Algorytmy
Mathematical programming, Control theory, Algorithms
The paper aims at a critical presentation of basic algorithms used for solving linear-quadratic optimal control models. The assumptions concerning the random disturbances allow us to use the certainty equivalence theorem and to ignore disturbances in computing optimal solutions. Thus, the problem to be solved is a deterministic one. The paper presents three algorithms representative for global and stage - wise mode i.e. the. Nestor algorithm and algorithms by Chow and Pindyck. The author investigates the case of solving a nonlinear-quadratic optimal control model by an algorithm invented by Chow. Finally, she reviews published criticism of the optimal control theory and its economic applications, including the most important critical remarks made by Lucas, which led to the invention of the generalized theory of optimal control. (original abstract)
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