Fast algorithm for a constrained infinite horizon LQ problem

被引：16

作者：

Chisci, L ^{[1
]}

Zappa, G ^{[1
]}

机构：

[1] Univ Florence, Dipartimento Sistemi & Informat, I-50139 Florence, Italy

来源：

INTERNATIONAL JOURNAL OF CONTROL | 1999年 / 72卷 / 11期

关键词：

D O I：

10.1080/002071799220560

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper presents an efficient algorithmic solution to the infinite horizon linear quadratic optimal control problem for a discrete-time SISO plant subject to bound constraints on a scalar variable. The solution to the corresponding quadratic programming problem is based on the active set method and on dynamic programming. It is shown that the optimal solution can be updated after inclusion or removal of an active constraint by a simple procedure requiring in the order of kn operations, n being the system order and k the time at which the constraint is included or removed.

引用

页码：1020 / 1026

页数：7

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