Respecifying the weighting matrix of a quadratic objective function

B. Rustem; K. Velupillai; J. H. Westcott

doi:10.1016/0005-1098(78)90046-8

Respecifying the weighting matrix of a quadratic objective function

B. Rustem, K. Velupillai, J. H. Westcott

Research output: Contribution to a Journal (Peer & Non Peer) › Article › peer-review

20 Citations (Scopus)

Abstract

A method based on a rank-one updating formula well known in function optimisation is described for respecifying the weighting matrix of the quadratic criterion function. The criterion function is thus altered systematically until an optimal solution acceptable to the policy-maker is generated. An iterative procedure is developed for this purpose.

Original language	English
Pages (from-to)	567-582
Number of pages	16
Journal	Automatica
Volume	14
Issue number	6
DOIs	https://doi.org/10.1016/0005-1098(78)90046-8
Publication status	Published - Nov 1978
Externally published	Yes

Keywords

economics
iterative methods
nonlinear programming
Optimal control

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10.1016/0005-1098(78)90046-8

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title = "Respecifying the weighting matrix of a quadratic objective function",

abstract = "A method based on a rank-one updating formula well known in function optimisation is described for respecifying the weighting matrix of the quadratic criterion function. The criterion function is thus altered systematically until an optimal solution acceptable to the policy-maker is generated. An iterative procedure is developed for this purpose.",

keywords = "economics, iterative methods, nonlinear programming, Optimal control",

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year = "1978",

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AU - Velupillai, K.

AU - Westcott, J. H.

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AB - A method based on a rank-one updating formula well known in function optimisation is described for respecifying the weighting matrix of the quadratic criterion function. The criterion function is thus altered systematically until an optimal solution acceptable to the policy-maker is generated. An iterative procedure is developed for this purpose.

KW - economics

KW - iterative methods

KW - nonlinear programming

KW - Optimal control

UR - https://www.scopus.com/pages/publications/0018031841

U2 - 10.1016/0005-1098(78)90046-8

DO - 10.1016/0005-1098(78)90046-8

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VL - 14

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JO - Automatica

JF - Automatica

IS - 6

ER -

Respecifying the weighting matrix of a quadratic objective function

Abstract

Keywords

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