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Multi-target linear-quadratic control problem and second-order cone programming
Proceedings of the 2003 American Control Conference, 2003.
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It's shown that a multi-target linear-quadratic control problem can be reduced to the classical tracking problem where the target is a convex combination of the original ones. Finding coefficients in this convex combination is reduced to solving a second-order cone programming problem which can be easily solved using modern interior point algorithms.
doi:10.1109/acc.2003.1242440
fatcat:g3g2epdhnndzjoaloutm562fsu