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

DOI10.1002/OCA.4660070307MaRDI QIDQ3743239zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• Variance constrained self-tuning control

Cited in

(3)

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

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