A New Solution Approach to Salukvadze´s Problem

The Salukvadze´s problem is to find a compromise solution of a multiobjective dynamic system. This paper considers a new solution approach to Salukvadze´s problem. By forming an associated weighting form of the original multiobjective dynamic system, the Sulukvadze´s solution is attained by a noninferior solution and is sought iteratively. Two major advantages of this new proposed approach are i) without adopting the state-augmentation, the approach thus avoids an increase of dimension in the solution procedure; and ii) the structure of linear-quadratic problems is preserved in the solution procedure, so analytical solutions can be obtained.