An efficient trust region method for unconstrained discrete-time optimal control problems

Conference · Sat Dec 31 00:00:00 EST 1994

OSTI ID:36222

Liao, A; Coleman, T

Discrete-time optimal control (DTOC) problems, which arise in many applications, are large-scale optimization problems with a dynamic structure. Taking advantage of this dynamic structure, we propose a method that incorporates the trust region idea with the local stagewise Newton`s method and show that our method solves DTOC problems very efficiently. In particular, the proposed method possesses advantages of both the trust region idea and the stagewise Newton`s method, i.e., our proposed method has strong global and local convergence properties yet remains economical. Preliminary numerical results are presented to illustrate the behavior of the proposed method.

• OSTI ID: 36222
• Report Number(s): CONF-9408161-; TRN: 94:009753-0546
• Resource Relation: Conference: 15. international symposium on mathematical programming, Ann Arbor, MI (United States), 15-19 Aug 1994; Other Information: PBD: 1994; Related Information: Is Part Of Mathematical programming: State of the art 1994; Birge, J.R.; Murty, K.G. [eds.]; PB: 312 p.
• Country of Publication: United States
• Language: English

Related Subjects

99 MATHEMATICS
COMPUTERS
INFORMATION SCIENCE
MANAGEMENT
LAW
MISCELLANEOUS
ALGORITHMS
OPTIMIZATION
MATRICES
NUMERICAL SOLUTION
VARIATIONAL METHODS
ACCURACY
CONVERGENCE
NEWTON METHOD