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

dc.contributor.authorColeman, Thomas F.en_US
dc.contributor.authorLiao, Aipingen_US
dc.description.abstractDiscrete-time optimal control (DTOC) problems are large-scale optimization problems with a dynamic structure. In previous work this structure has been exploited to provide very fast and efficient local procedures. Two examples are the differential dynamic programming algorithm (DDP) and the stagewise Newton procedure -- both require only O(N) operations per iteration, where N is the number of timesteps. Both exhibit a quadratic convergence rate. However, most algorithms in this category do not have a satisfactory global convergence strategy. The most popular global strategy is shifting: this sometimes works poorly due to the lack of automatic adjustment to the shifting element. In this paper we propose a method that incorporates the trust region idea with the local stagewise Newton's method. This 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 algorithm. We also collect in the Appendix some DTOC problems that have appeared in the literature.en_US
dc.format.extent230879 bytes
dc.publisherCornell Universityen_US
dc.subjecttheory centeren_US
dc.titleAn efficient trust region method for unconstrained discrete-time optimal control problemsen_US
dc.typetechnical reporten_US


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