Dynamic programming method for constrained discrete-time optimal control

Dynamic programming method for constrained discrete-time optimal control

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Article ID: iaor2000349
Country: United States
Volume: 101
Issue: 2
Start Page Number: 259
End Page Number: 283
Publication Date: May 1999
Journal: Journal of Optimization Theory and Applications
Authors: ,
Keywords: programming: dynamic
Abstract:

A dynamic programming method is presented for solving constrained, discrete-time, optimal control problems. The method is based on an efficient algorithm for solving the subproblems of sequential quadratic programming. By using an interior-point method to accommodate inequality constraints, a modification of an existing algorithm for equality constrained problems can be used iteratively to solve the subproblems. Two test problems and two application problems are presented. The application examples include a rest-to-rest manoeuvre of a flexible structure and a constrained brachistochrone problem.

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