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An extragradient method for finding the saddle point in an optimal control problem |
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| Authors: | F. P. Vasilyev E. V. Khoroshilova A. S. Antipin |
| Affiliation: | 1.Department of Computational Mathematics and Cybernetics,Moscow State University,Moscow,Russia;2.Department of Computational Mathematics and Cybernetics,Moscow State University,Moscow,Russia;3.Dorodnicyn Computing Center,Russian Academy of Sciences,Moscow,Russia |
| Abstract: | We propose an extragradient method for finding the saddle point of a convex-concave functional defined on solutions of controlled systems of linear ordinary differential equations. We prove the convergence of the method. |
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