An SQP trust region method for solving the discrete-time linear quadratic control problem
El-Sayed M.E. Mostafa
International Journal of Applied Mathematics and Computer Science, Tome 22 (2012), p. 353-363 / Harvested from The Polish Digital Mathematics Library
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In this paper, a sequential quadratic programming method combined with a trust region globalization strategy is analyzed and studied for solving a certain nonlinear constrained optimization problem with matrix variables. The optimization problem is derived from the infinite-horizon linear quadratic control problem for discrete-time systems when a complete set of state variables is not available. Moreover, a parametrization approach is introduced that does not require starting a feasible solution to initiate the proposed SQP trust region method. To demonstrate the effectiveness of the method, some numerical results are presented in detail.

Publié le : 2012-01-01
EUDML-ID : urn:eudml:doc:208113 
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     title = {An SQP trust region method for solving the discrete-time linear quadratic control problem},
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     zbl = {1288.90130},
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El-Sayed M.E. Mostafa. An SQP trust region method for solving the discrete-time linear quadratic control problem. International Journal of Applied Mathematics and Computer Science, Tome 22 (2012) pp. 353-363. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-amcv22i2p353bwm/

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