Optimal control with nonquadratic control costs

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#181

From: Andrew Mullhaupt
Date: Mon, 03 Aug 1992 14:59

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Can someone give me a pointer to the literature on optimal control
with nonquadratic costs? An example problem is:

	minimize sum (x(t) - r(t))^2 + abs(v(t-1))
	         t>0

subject to:

	x(t+1) = x(t) + v(t) + noise(t).

(In the case where you get to replace abs(v) with v^2 the usual Kalman
Filter stuff applies...)

Later,
Andrew Mullhaupt

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Path: arc1-ca.pugleaf.net!sparky!uunet!tcsi.com!iat.holonet.net!uupsi!psinntp!kepler1!andrew
From: andrew@rentec.com (Andrew Mullhaupt)
Newsgroups: sci.math.num-analysis,sci.math
Subject: Optimal control with nonquadratic control costs
Message-ID: <1144@kepler1.rentec.com>
Date: 3 Aug 92 14:59:04 GMT
Followup-To: sci.math.num-analysis
Organization: Renaissance Technologies Corp., Setuket, NY
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