A dynamic programming approach to solving constrained linear-quadratic optimal control problems
Ruth Mitze,
Martin Mönnigmann
Abstract:The solution of a constrained linear-quadratic regulator problem is determined by the set of its optimal active sets. We propose an algorithm that constructs this set of active sets for a desired horizon N from that for horizon N − 1. While it is not obvious how to extend the optimal feedback law itself for horizon N − 1 to horizon N , a simple relation between the optimal active sets for two successive horizon lengths exists. Specifically, every optimal active set for horizon N is a superset of an optimal act… Show more
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