An extragradient method for finding the saddle point in an optimal control problem

被引：1

作者：

Vasilyev F.P. ^{[1
,2
]}

Khoroshilova E.V. ^{[1
,2
]}

Antipin A.S. ^{[3
]}

机构：

[1] Department of Computational Mathematics and Cybernetics, Moscow State University

[2] Department of Computational Mathematics and Cybernetics, Moscow State University

[3] Dorodnicyn Computing Center, Russian Academy of Sciences

来源：

Moscow University Computational Mathematics and Cybernetics | 2010年 / 34卷 / 3期

基金：

俄罗斯基础研究基金会;

关键词：

extragradient method; optimal control; saddle point;

D O I：

10.3103/S0278641910030039

中图分类号：

学科分类号：

摘要：

We propose an extragradient method for finding the saddle point of a convex-concave functional defined on solutions of controlled systems of linear ordinary differential equations. We prove the convergence of the method. © 2010 Allerton Press, Inc.

引用

页码：113 / 118

页数：5

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