Support method for solving a linear-quadratic problem with polythedral with polyhedral constraints on control

Abstract

T his paper deals with min imizat ion of a qu ad rat ic co nvex term inal co st function al on the t raject ories of a linear dynamic system subject to polyhedral constraints on control and linear constraints on terminal state. The proposed a lgorithm is direct . accurate, relaxa tional. and in it th e support not ion a ppears to be one of the basic elements. Th e pro blem is so lved by a finite number of in tegra tio ns of the prime and conju gat e systems. All illustrated example is provided

Keywords:

• Optimal Control
• Dynamic programming
• Linear-quadratic problem
• Support control
• Subopurnality criterion
• Maximum principle