Differential stability of a class of convex optimal control problems

2017/07/13 by An, Duong Thi Viet, Yao, Jen-Chih, Yen, Nguyen Dong · 1 citation
#49J15 #49J53 #49K40 #90C25 #90C31 #FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1707.03955

Abstract

A parametric constrained convex optimal control problem, where the initial state is perturbed and the linear state equation contains a noise, is considered in this paper. Formulas for computing the subdifferential and the singular subdifferential of the optimal value function at a given parameter are obtained by means of some recent results on differential stability in mathematical programming. The computation procedures and illustrative examples are presented.

Cited by

• Qualitative and Generalized Differentiation Properties of Optimal Value Functions with Applications to Duality

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