International Journal of applied mathematics and computer science

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Paper details

Number 2 - June 2012
Volume 22 - 2012

An SQP trust region method for solving the discrete-time linear quadratic control problem

El-Sayed M.E. Mostafa

In this paper, a sequential quadratic programming method combined with a trust region globalization strategy is analyzed and studied for solving a certain nonlinear constrained optimization problem with matrix variables. The optimization problem is derived from the infinite-horizon linear quadratic control problem for discrete-time systems when a complete set of state variables is not available. Moreover, a parametrization approach is introduced that does not require starting a feasible solution to initiate the proposed SQP trust region method. To demonstrate the effectiveness of the method, some numerical results are

output feedback control design, sequential quadratic programming, trust region method