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

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

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Published in:International journal of applied mathematics and computer science 2012-06, Vol.22 (2), p.353
Main Author: Mostafa, El-Sayed
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Language:English
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description An SQP trust region method for solving the discrete-time linear quadratic control problem 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.
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title An SQP trust region method for solving the discrete-time linear quadratic control problem
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