학술논문
A General Linea-Quadratic Optimization Problem
Document Type
redif-article
Author
Source
Springer, Journal of Optimization Theory and Applications. 127(3):485-496
Subject
Language
English
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.