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.
Related projects:	Functional-differential equations and mathematical-statistical models