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A General Linea-Quadratic Optimization Problem |
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| Authors: | Y Y Fan R E Kalaba |
| Affiliation: | (1) Civil and Environmental Engineering Department, University of California, Davis, California;(2) Biomedical Engineering and Economics Departments, University of Southern California, Los Angeles, California |
| 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 |
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