Numerical approaches are developed for solving large-scale problems of extended linear-quadratic programming that exhibit Lagrangian separability in both primal and dual variables simultaneously. Such problems are kin to large-scale linear complemen-tarity models as derived from applications of variational inequalities, and they arise from general models in multistage stochastic programming and...

We present a quadratic Discrete-time Optimal Control problem generator, written in C, with options for Degeneracy, Activity and Conditioning (DOCDAC). We use the generator to investigate badly conditioned and degenerate extended linear-quadratic problems (ELQPs) by solving such problems with primal-dual projected gradient and interior-point methods. The benefit of using second-order information...

Abstract In this paper, the problem of inverse quadratic optimal control over finite time-horizon for discrete-time linear systems is considered. Our goal to recover corresponding objective function using noisy observations. First, identifiability model structure analyzed under relative degree assumption and we show strictly globally identifiable. Next, study whose initial state distribution ob...

In this paper, results for quadratic optimal control of hybrid linear autonomous systems with state jumps are reported. In particular, we focus on problems in which a prespecified sequence of active subsystems is given. In a recent paper, we have proposed an approach for optimal control problems of hybrid autonomous systems with state jumps. However, in applying that approach, some computationa...

We study large-scale, continuous-time linear time-invariant control systems with a sparse or structured state matrix and a relatively small number of inputs and outputs. The main contributions of this paper are numerical algorithms for the solution of large algebraic Lyapunov and Riccati equations and linearquadratic optimal control problems, which arise from such systems. First, we review an a...