An efficient trust region method for unconstrained discrete-time optimal control problems | Zendy

Thomas F. Coleman | Zendy; Aiping Liao | Zendy

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An efficient trust region method for unconstrained discrete-time optimal control problems

Author(s) -

Thomas F. Coleman,

Aiping Liao

Publication year - 1995

Publication title -

computational optimization and applications

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.028

H-Index - 78

eISSN - 1573-2894

pISSN - 0926-6003

DOI - 10.1007/bf01299158

Subject(s) - differential dynamic programming , trust region , convergence (economics) , mathematical optimization , mathematics , newton's method , local convergence , quadratic equation , computer science , rate of convergence , dynamic programming , scale (ratio) , iterative method , key (lock) , nonlinear system , physics , computer security , geometry , quantum mechanics , economics , radius , economic growth

Discrete-time optimal control (DTOC) problems are large-scale optimization problems with a dynamic structure. In previous work this structure has been exploited to provide very fast and efficient local procedures. Two examples are the differential dynamic programming algorithm (DDP) and the stagewise Newton procedure—both require onlyO(N) operations per iteration, whereN is the number of timesteps. Both exhibit a quadratic convergence rate. However, most algorithms in this category do not have a satisfactory global convergence strategy. The most popular global strategy is shifting: this sometimes works poorly due to the lack of automatic adjustment to the shifting element.

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