SIAM Journal on Control and Optimization, Vol.34, No.1, 62-73, 1996
On a Certain Parameter of the Discretized Extended Linear-Quadratic Problem of Optimal-Control
The number gamma := parallel to (Q) over cap(-1/2) <(RP)over cap>(-1/2)parallel to is an important parameter for the extended linear-quadratic programming (ELQP) problem associated with the Lagrangian L((u) over cap, (v) over cap) = (p) over cap .(u) over cap + 1/2 (u) over cap .(P) over cap (u) over cap + (q) over cap .(v) over cap - 1/2 (v) over cap .(R) over cap (u) over cap - (v) over cap .(R) over cap (u) over cap over polyhedral sets (U) over cap x (V) over cap. Some fundamental properties of the problem, as well as the convergence rates of certain newly developed algorithms for large-scale ELQP, are all related to gamma. In this paper, we derive an estimate of gamma for the ELQP problems resulting from discretization of an optimal control problem. We prove that the parameter gamma of the discretized problem is bounded independently of the number of subintervals in the discretization.