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Linear‐quadratic optimal control with integral quadratic constraints
Author(s) -
Lim A. E. B.,
Liu Y. Q.,
Teo K. L.,
Moore J. B.
Publication year - 1999
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/(sici)1099-1514(199903/04)20:2<79::aid-oca647>3.0.co;2-3
Subject(s) - optimal control , minimax , mathematics , quadratic equation , selection (genetic algorithm) , mathematical optimization , state (computer science) , linear quadratic gaussian control , quadratic programming , function (biology) , control (management) , computer science , algorithm , geometry , artificial intelligence , evolutionary biology , biology
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. Copyright © 1999 John Wiley & Sons, Ltd.