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New algorithms for discrete-time optimal control problems
Published online by Cambridge University Press: 17 February 2009
Abstract
The paper presents new demonstrably convergent first-order iterative algorithms for unconstrained discrete-time optimal control problems. The algorithms, which solve the linear-quadratic problem in one iterative step, are particularly suited for solving nonlinear problems with linear constraints via penalty function methods. The proofs of the reduction of cost at each iteration and convergence of the algorithms are provided.
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- Copyright © Australian Mathematical Society 1984