NEWTON'S METHOD FOR LINEAR OPTIMAL CONTROL PROBLEMS.

Research output: Contribution to conferencePaperpeer-review

2 Scopus citations

Abstract

Discrete-time optimal control problems with linear dynamics, linear objective function and linear state and control constraints form an important class of large scale linear programming problems the special structure of which cannot be exploited by straightforward application of the simplex method. As an alternative one may use a penalty or multiplier method to eliminate the state and control constraints and employ variations of Newton's method to solve the associated piecewise quadratic unconstrained optimal control problems. This paper shows under mild assumptions that the exact solution of the problem can be obtained by solving an associated Riccati equation a finite number of times and reports on the computational aspects of the related algorithms.

Original languageEnglish (US)
Pages353-359
Number of pages7
StatePublished - 1976
Externally publishedYes
EventLarge Scale Syst Theory and Appl, Proc of the IFAC Symp - Udine, Italy
Duration: Jun 16 1976Jun 20 1976

Conference

ConferenceLarge Scale Syst Theory and Appl, Proc of the IFAC Symp
CityUdine, Italy
Period6/16/766/20/76

ASJC Scopus subject areas

  • Engineering(all)

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