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SIAM Journal on Control and Optimization
Article . 1996 . Peer-reviewed
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On a Certain Parameter of the Discretized Extended Linear-Quadratic Problem of Optimal Control

On a certain parameter of the discretized extended linear-quadratic problem of optimal control
Authors: Zhu, Ciyou;

On a Certain Parameter of the Discretized Extended Linear-Quadratic Problem of Optimal Control

Abstract

Summary: The number \(\gamma:= |\widehat Q^{-{1\over 2}} \widehat R\widehat P^{- {1\over 2}}|\) is an important parameter for the extended linear-quadratic programming (ELQP) problem associated with the Lagrangian \(L(\widehat u, \widehat v)= \widehat p\cdot \widehat u+ {1\over 2} \widehat u\cdot \widehat P \widehat u+ \widehat q\cdot \widehat v- {1\over 2} \widehat v\cdot \widehat Q \widehat v- \widehat v\cdot \widehat R\widehat v\) over polyhedral sets \(\widehat U\times \widehat V\). Some fundamental properties of the problem, as well as the convergence rates of certain newly developed algorithms for large-scale ELQP, are all related to \(\gamma\). In this paper, we derive an estimate of \(\gamma\) for the ELQP problems resulting from discretization of an optimal control problem. We prove that the parameter \(\gamma\) of the discretized problem is bounded independently of the number of subintervals in the discretization.

Keywords

primal-dual projected gradient algorithm, optimal control, Numerical mathematical programming methods, Methods of reduced gradient type, Linear-quadratic optimal control problems, extended linear-quadratic programming, Existence of solutions for minimax problems, Quadratic programming, minimax problem

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
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