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Applied Mathematics and Optimization, Vol.81, No.1, 1-22, 2020
Differential Stability of a Class of Convex Optimal Control Problems
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.
Keywords:Parametric constrained convex optimal control problem;Linear ordinary differential equation;Sobolev space;Parametric mathematical programming problem;Optimal value function;Subdifferential;Singular subdifferential