A Duality Approach for Solving Control-Constrained Linear-Quadratic Optimal Control Problems

DOI10.1137/130910221zbMath1298.49053OpenAlexW1986364981WikidataQ58048415 ScholiaQ58048415MaRDI QIDQ3192128

C. Yalçın Kaya, Saba N. Majeed, Regina Sandra Burachik

Publication date: 26 September 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130910221

zbMATH Keywords

linear-quadratic optimal control problemsFenchel dualitystrong dualityzero duality gapEuler discretizationsaddle point property

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Sensitivity, stability, parametric optimization (90C31) Numerical methods based on nonlinear programming (49M37) Linear-quadratic optimal control problems (49N10) Numerical solutions to equations with nonlinear operators (65J15) Duality theory (optimization) (49N15) Discrete approximations in optimal control (49M25)

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Dualization and discretization of linear-quadratic control problems with bang-bang solutions ⋮ Optimal control synthesis for the constrained bilinear biquadratic regulator problem ⋮ Infinite horizon indefinite stochastic linear quadratic control for discrete-time systems ⋮ Primal-dual method for solving a linear-quadratic multi-input optimal control problem ⋮ Sparse network optimization for synchronization ⋮ Optimal Control Duality and the Douglas–Rachford Algorithm ⋮ A game representation for a finite horizon state constrained continuous time linear regulator problem ⋮ Linearly Constrained Linear Quadratic Regulator from the Viewpoint of Kernel Methods

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