On the asymptotic properties of the Hessian in discrete-time linear quadratic control

2004 ◽  
Author(s):  
O.J. Rojas ◽  
G.C. Goodwin
Keyword(s):  
Discrete Time ◽  
Asymptotic Properties ◽  
Linear Quadratic Control ◽  
Linear Quadratic ◽  
Time Linear

scholarly journals An SQP trust region method for solving the discrete-time linear quadratic control problem

2012 ◽  
Vol 22 (2) ◽  
pp. 353-363 ◽  
Author(s):  
El-Sayed Mostafa
Keyword(s):  
Control Problem ◽  
Discrete Time ◽  
Optimization Problem ◽  
Trust Region Method ◽  
Trust Region ◽  
Linear Quadratic Control ◽  
Linear Quadratic ◽  
Region Method ◽  
Time Linear ◽  
Linear Quadratic Control Problem

An SQP trust region method for solving the discrete-time linear quadratic control problemIn 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.

Discrete Time Linear Quadratic Control With Arbitrary Correlated Noise

2013 ◽  
Vol 58 (5) ◽  
pp. 1290-1293 ◽  
Author(s):  
Tyrone E. Duncan ◽  
Bozenna Pasik-Duncan
Keyword(s):  
Discrete Time ◽  
Correlated Noise ◽  
Linear Quadratic Control ◽  
Linear Quadratic ◽  
Time Linear

Cost smoothing in discrete-time linear-quadratic control

Automatica ◽  
1997 ◽  
Vol 33 (3) ◽  
pp. 447-452 ◽  
Author(s):  
Duan Li ◽  
Christopher Wayne Schmidt
Keyword(s):  
Discrete Time ◽  
Linear Quadratic Control ◽  
Linear Quadratic ◽  
Time Linear
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