NEW ALGORITHM FOR COMPLEX OPTIMIZATION PROBLEM WITH INEQUALITY CONSTRAINTS

摘要

In this paper, a new procedure is developed to solve complex constrained linear quadratic optimal control problem. To do that, the problem is firstly decomposed and reformulated to an equivalent optimization one. Then, the resulted necessary conditions of optimality arc solved within a two-level structure. Under the assumption that the original problem has a solution, the convergence behavior of the algorithm is investigated. It is shown that the algorithm converges to the optimal solution. Simulation results of the paper-machine design problem arc given to illustrate the effectiveness of the developed technique.