Implementation of Infinite Dimensional Interior Point Method for Solving Multi-criteria Linear-Quadratic Control Problem

L Faybusovich (leonid.faybusovich.1nd.edu)
T Mouktonglang (tmouktonnd.edu)
T Tsuchiya (tsuchiyasun312.ism.ac.jp)

Abstract: We describe an implementation of an infinite-dimensional primal-dual algorithm based on the Nesterov-Todd direction. Several applications to both continuous and discrete-time multi-criteria linear-quadratic control problems and linear-quadratic control problem with quadratic constraints are described. Numerical results show a very fast convergence (typically, within 3-4 iterations) to optimal solutions

Keywords: primal-dual algorithms, linear-quadratic control, Jordan algebras

Category 1: Applications -- Science and Engineering (Control Applications )

Category 2: Infinite Dimensional Optimization

Category 3: Linear, Cone and Semidefinite Programming

Citation: Preprint, May, 2004, University of Notre Dame

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Entry Submitted: 05/11/2004
Entry Accepted: 05/11/2004
Entry Last Modified: 05/11/2004

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