An Iterative Procedure for Solving Convex Optimal Control Problems

Abstract

A doubly iterative procedure for computing optimal controls in linear systems with convex cost functionals is presented. The procedure is based on an algorithm due to Gilbert [3] for minimizing a quadratic form on a convex set. Each step of the procedure makes use of an algorithm due to Neustadt and Paiewonsky [1] to solve a strictly linear optimal control problem. Copyright © 1970 by The Institute of Electrical and Electronics Engineers, Inc.