CONTINUOUS-TIME QUADRATIC PROGRAMMING PROBLEMS: APPROXIMATE SOLUTIONS AND ERROR ESTIMATION

Abstract

A class of continuous-time quadratic programming problems (CQP) is discussed in this paper. We propose a discrete approximation procedure to find numerical solutions of (CQP). The provided computational procedure can yield feasible numerical solutions and bounds on the error introduced by the numerical approximation. It can also be shown that the searched sequence of approximate solution functions weakly-star converges to an optimal solution of (CQP). Besides, some numerical examples are provided to implement our proposed method and to show the quality of the proposed error bound.