Implementation of infinite-dimensional interior-point method for solving multi-criteria linear–quadratic control problem

We describe an implementation of an infinite-dimensional primal–dual algorithm based on the Nesterov–Todd direction. Several applications to both continuous and discrete-time multi-criteria linear–quadratic control problems and linear–quadratic control problem with quadratic constraints are described. Numerical results show a very fast convergence (typically, within 3–4 iterations) to optimal solutions.