COMBINATION OF PENALTY FUNCTION AND MULTIPLIER METHODS FOR SOLVING OPTIMAL-CONTROL PROBLEMS

被引：8

作者：

GLAD, ST

机构：

[1] Department of Automatic Control, Lund University, Lund

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 1979年 / 28卷 / 03期

关键词：

convergence rate; multiplier methods; Optimal control; penalty functions; Riccati equation;

D O I：

10.1007/BF00933377

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The properties of combined multiplier and penalty function methods are investigated using a second-order expansion and results known for the Riccati equation. It is shown that the lower bound of the values of the penalty constant necessary to obtain a minimum is given by a certain Riccati equation. The convergence rate of a common updating rule for the multipliers is shown to be linear. © 1979 Plenum Publishing Corporation.

引用

页码：303 / 329

页数：27

共 15 条

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