Suggested Citation:
Fan, Yueyue and Robert E. Kalaba (2005) A General Linear-Quadratic Optimization Problem. Journal of Optimization Theory and Applications 127 (3), 485 - 496

A linear-quadratic optimization problem is formulated in a dynamic programming manner. An updating formula for obtaining the solutions to such a problem is provided and illustrated using a few simple examples. This updating formula is also compared to a well-known updating formula for obtaining the inverses of symmetric positive-definite matrices. Numerical results are given.

Key Words: Dynamic programming, optimization, optimal production problems, linear-quadratic problems.