Linear-quadratic optimal control with integral quadratic constraints

A. E.B. Lim*, Y. Q. Liu, K. L. Teo, J. B. Moore

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    12 Citations (Scopus)

    Abstract

    We derive closed-form solutions for the linear-quadratic (LQ) optimal control problem subject to integral quadratic constraints. The optimal control is a non-linear function of the current state and the initial state. Furthermore, the optimal control is easily calculated by solving an unconstrained LQ control problem together with an optimal parameter selection problem. Gradient formulae for the cost functional of the optimal parameter selection problem is derived. Application to minimax problems is given. The method is illustrated in a numerical example.

    Original languageEnglish
    Pages (from-to)79-92
    Number of pages14
    JournalOptimal Control Applications and Methods
    Volume20
    Issue number2
    DOIs
    Publication statusPublished - Mar 1999

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