A Kalman-tracking filter approach to nonlinear programming

DOI10.1016/0898-1221(90)90149-EMaRDI QIDQ750314zbMATH OpenFDO

Authors D. Kharzeev

Publication date 1990

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(90)90149-E

zbMATH Keywords

approximation errorsstochastic noisetrackingtwo-level Kalman filter

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Stochastic programming (90C15) Nonlinear programming (90C30) Filtering in stochastic control theory (93E11)

Review text

The problem considered is that of finding the minimum of a nonlinear function f(\(\theta\)) when the gradient and Hessian matrix are unknown or cannot be easily computed. The function f(\(\theta\)) may also be observed in the presence of stochastic noise. This type of nonlinear programming problem is here associated with a tracking problem arising in aerospace applications. At this time, finding the minimum of the function f(\(\theta\)) is equivalent to tracking a point \(\theta^*\) (the minimum) in the parameter space, based on noisy measurements of its position (the function evaluations f(\(\theta\))). A new nonlinear programming algorithm motivated by this tracking problem is presented which accounts for both modeling and approximation errors. The algorithm uses a two-level Kalman filter. The low-level Kalman filter performs function approximations, while the upper-level filter accounts for the tracking of parameters. The numerical examples shown in the paper indicate that the algorithm is robust to noise and is comparable to Newton's method.

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Cites work

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Cited in

(1)

• Solving stochastic programming problems via Kalman filter and affine scaling

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