A primal-dual method for linear-quadratic gaussian control problems with quadratic constraints
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Publication:3743239
DOI10.1002/oca.4660070307zbMath0604.93068OpenAlexW2035544510MaRDI QIDQ3743239
Publication date: 1986
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/oca.4660070307
Lagrange multiplier methoddual maximization problemlinear-quadratic Gaussian controlstationary quadratic state and input constraints
Numerical methods involving duality (49M29) Newton-type methods (49M15) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
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