A Mathematical Programming Approach to Identification and Optimization of a Class of Unknown Systems

A Mathematical Programming Approach to Identification and Optimization of a Class of Unknown Systems

1972Working Paper No. 91

There exists a class of decision problems for which: (1) models of input-output response functions are not available in a closed-form, functional representation; (2) informational costs associated with learning about the response function are significant. For these problems, combining identification with optimization using mathematical programming is potentially attractive. Three approaches to the identification-optimization problem are proposed: an outer-linearized approximation using relaxation(OLR); an inner-linearized approximation using restriction (ILR): and a sequential combination of inner- and outer-linearized subproblems (SIO). Algorithms based on each approach are developed and computational experience reported.