An active set method for constrained linear quadratic optimal control

L A Rodriguez, A Sideris
2010 Proceedings of the 2010 American Control Conference  
An active-set method is proposed for solving Linear Quadratic Optimal control problems subject to general linear inequality path constraints including mixed state-control and state-only constraints. The proposed algorithm uses a Riccati based approach to efficiently solve the equality constrained optimal control subproblems generated during the procedure and it is illustrated with two numerical examples. C(n) ∈ R p n ×N x , D(n) ∈ R p n ×N u , and r(n) ∈ R p n (5) G(n) ∈ R q n ×N x , and h(n) ∈
more » ... n ×N x , and h(n) ∈ R q n (6)
doi:10.1109/acc.2010.5530453 fatcat:vh646kzkjzdw3iseeeebhj7qgm