Paper: Respecifying the weighting matrix of a quadratic objective function

  • Authors:

  • B. Rustem;K. Velupillai;J. H. Westcott

  • Affiliations:

  • Department of Economics, London School of Economics and Political Science, London, UK;Center for Operational Research and Econometrics, Louvain, Belgium;Department of Computing and Control, Imperial College of Science and Technology, London, UK

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 1978

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Abstract

A method based on a rank-one updating formula well known in function optimisation is described for respecifying the weighting matrix of the quadratic criterion function. The criterion function is thus altered systematically until an optimal solution acceptable to the policy-maker is generated. An iterative procedure is developed for this purpose.