A primal-dual method for linear-quadratic gaussian control problems with quadratic constraints

DOI10.1002/OCA.4660070307zbMATH Open0604.93068OpenAlexW2035544510MaRDI QIDQ3743239FDOQ3743239

Authors: Hannu T. Toivonen 

Publication date: 1986

Published in: Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.4660070307

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zbMATH Keywords

Lagrange multiplier methoddual maximization problemlinear-quadratic Gaussian controlstationary quadratic state and input constraints

Mathematics Subject Classification ID

Newton-type methods (49M15) Numerical methods involving duality (49M29) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

Cites Work

• Variance constrained self-tuning control

Cited In (3)

• A primal-dual semi-definite programming approach to linear quadratic control
• Primal-dual method for solving a linear-quadratic multi-input optimal control problem
• Constrained linear quadratic Gaussian control with process applications

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