LQ Optimal Control in the Presence of Constraints

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Authors

TROJAN Filip

Year of publication 2001
Type Article in Proceedings
Conference Datastat 99, Folia Fac. Sci. Nat. Univ. Masaryk. Brunensis, Mathematica 9
MU Faculty or unit

Faculty of Science

Citation
Field Applied statistics, operation research
Keywords Quadratic optimal control; dynamic programming; inequality-type constraints
Description In this paper, the well known linear quadratic optimal control problem is generalized by setting inequality--type constraints on the control vector (new problem is abbreviated as CLQ problem). By methods of dynamic programming it is shown that solution to the CLQ problem is in the form of the so called polyedral-affine and polyedral-quadratic functions, which are to be defined in the text. Algorithmic solution to the CLQ problem is given by applying methods of quadratic programming.
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