Interior Point Methods for Optimal Control of Discrete-time Systems
نویسنده
چکیده
We show that recently developed interior point methods for quadratic programming and linear complementarity problems can be put to use in solving discrete-time optimal control problems, with general pointwise constraints on states and controls. We describe interior point algorithms for a discrete time linear-quadratic regulator problem with mixed state/control constraints, and show how it can be eeciently incorporated into an inexact sequential quadratic programming algorithm for nonlinear problems. The key to the eeciency of the interior-point method is the narrow-banded structure of the coeecient matrix which is factorized at each iteration.
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