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Linear-quadratic Optimal Control with Integral Quadratic Constraints

Lim, Andrew; Liu, Yinghong; Teo, K; Moore, John


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...[Show more]

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
Source: Optimal Control Applications and Methods
DOI: 10.1002/(SICI)1099-1514(199903/04)20:2<79::AID-OCA647>3.0.CO;2-3


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