## Interior Point Methods For Optimal Control Of Discrete-Time Systems (1993)

Venue: | Journal of Optimization Theory and Applications |

Citations: | 31 - 5 self |

### BibTeX

@ARTICLE{Wright93interiorpoint,

author = {Stephen J. Wright},

title = {Interior Point Methods For Optimal Control Of Discrete-Time Systems},

journal = {Journal of Optimization Theory and Applications},

year = {1993},

volume = {77},

pages = {161--187}

}

### Years of Citing Articles

### OpenURL

### Abstract

. We show that recently developed interior point methods for quadratic programming and linear complementarity problems can be put to use in solving discrete-time optimal control problems, with general pointwise constraints on states and controls. We describe interior point algorithms for a discrete time linear-quadratic regulator problem with mixed state/control constraints, and show how it can be efficiently incorporated into an inexact sequential quadratic programming algorithm for nonlinear problems. The key to the efficiency of the interior-point method is the narrow-banded structure of the coefficient matrix which is factorized at each iteration. Key words. interior point algorithms, optimal control, banded linear systems. 1. Introduction. The problem of optimal control of an initial value ordinary differential equation, with Bolza objectives and mixed constraints, is min x;u Z T 0 L(x(t); u(t); t) dt + OE f (x(T )); x(t) = f(x(t); u(t); t); x(0) = x init ; (1.1) g(x(t); u(...