Article ID: | iaor19962196 |
Country: | United Kingdom |
Volume: | 17 |
Issue: | 1 |
Start Page Number: | 29 |
End Page Number: | 43 |
Publication Date: | Jan 1996 |
Journal: | Optimal Control Applications & Methods |
Authors: | Teo K.L., Cantoni M.W., Yan W.Y., Sreeram V. |
This paper proposes an approach to solving infinite planning horizon quadratic optimal regulator problems with linear static state feedback for discrete time systems. The approach is based on solving a sequence of approximate problems constructed by combining a finite horizon problem with an infinite horizon linear problem. A gradient-flow algorithm is derived to solve the approximate problems. As part of this, a new algorithm is derived for computing the gradient of the cost functional, based on a system of difference equations to be solved completely forward in time. Two numerical examples are presented.