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Exponential Decay in the Sensitivity Analysis of Nonlinear Dynamic Programming

By Sen Na and Mihai Anitescu
In this paper, we study the sensitivity of discrete-time dynamic programs with nonlinear dynamics and objective to perturbations in the initial conditions and reference parameters. Under uniform controllability and boundedness assumptions for the problem data, we prove that the directional derivative of the optimal state and control at time kk,... Show more
December 13, 2019
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Exponential Decay in the Sensitivity Analysis of Nonlinear Dynamic Programming
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