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New algorithms for discrete-time optimal control problems

Published online by Cambridge University Press:  17 February 2009

Nikola B. Nedeljković
Nikola B. Nedeljković
Affiliation:
School of Mathematical and Physical Sciences, Murdoch University, Murdoch 6150, Western Australia.
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Abstract

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The paper presents new demonstrably convergent first-order iterative algorithms for unconstrained discrete-time optimal control problems. The algorithms, which solve the linear-quadratic problem in one iterative step, are particularly suited for solving nonlinear problems with linear constraints via penalty function methods. The proofs of the reduction of cost at each iteration and convergence of the algorithms are provided.

Type
Research Article
Information
The ANZIAM Journal , Volume 26 , Issue 2 , October 1984 , pp. 129 - 145
Copyright
Copyright © Australian Mathematical Society 1984

References

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