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  5. Solving Unconstrained Discrete-time Optimal Control Problems Using Trust Region Method

Solving Unconstrained Discrete-time Optimal Control Problems Using Trust Region Method

File(s)
95-230.ps (280.17 KB)
95-230.pdf (222.14 KB)
Permanent Link(s)
https://hdl.handle.net/1813/5564
Collections
Cornell Theory Center Technical Reports
Author
Liao, Aiping
Abstract

Trust region method for a class of large-scale minimization problems, the unconstrained discrete-time optimal control (DTOC) problems, is considered. Although the trust region algorithms developed in [4] and [13] are very economical they lack the ability to handle the so-called hard case. In this paper, we show that the trust region subproblem can be solved within an acceptable accuracy without forming the Hessian explicitly. The new approach is based on the inverse power method for eigenvalue problem and possesses the ability to handle the hard case. Our proposed approach leads to more efficient algorithms for DTOC problems.

Date Issued
1995-12
Publisher
Cornell University
Keywords
theory center
•
discrete-time optimal control
•
stagewise Newton's method
•
trust region method
•
inverse power method
Previously Published as
http://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.tc/95-230
Type
technical report

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