Near Optimization of Dynamic Systems by Decomposition and Aggregation
Journal of Optimization Theory and Applications, Vol. 99, No. 1, pp. 1-22, October 1998
40 Pages Posted: 18 Apr 2008 Last revised: 18 Jan 2009
This paper is concerned with the reduction of a class of optimal control problems to simpler problems by using decomposition and aggregation. Decomposition is shown to provide a good approximation when the system dynamics involve nearly decomposable matrices or variables with strong and weak interactions. Aggregation provides a good approximation if each of the decomposed matrices has one or more dominant eigenvalues. It is shown how one can construct nearly-optimal controls for the given system from the optimal solutions of the simpler reduced problems.
Keywords: Optimal control, dynamic systems, decomposition, aggregation, near optimization
JEL Classification: C61
Suggested Citation: Suggested Citation