Fast Algorithm for Estimating Control Horizon of Input Constrained Linear Quadratic Regulation

摘要

A fast algorithm for estimating the control horizon of the input constrained linear quadratic regulation (LQR) problem is presented.It is known that there exists a finite horizon such that the infinite horizon constrained LQR problem can be solved as a finite horizon constrained LQR problem.An efficient algorithm to estimate the upper bound of the horizon is presented based on the linear programming.It only needs to solve a linear programming problem for on line application.Finally,the comparison among some methods is shown by an example.The proposed algorithm has less conservative than those of other algorithms.