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A combination of penalty function and multiplier methods for solving optimal control problems

Glad, Torkel (1979) In Journal of Optimization Theory and Applications 28(3). p.303-329
Abstract
The properties of combined multiplier and penalty function methods are investigated using a second-order expansion and results known for the Riccati equation. It is shown that the lower bound of the values of the penalty constant necessary to obtain a minimum is given by a certain Riccati equation. The convergence rate of a common updating rule for the multipliers is shown to be linear.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Journal of Optimization Theory and Applications
volume
28
issue
3
pages
303 - 329
publisher
Springer
external identifiers
  • scopus:0018493043
ISSN
0022-3239
DOI
10.1007/BF00933377
language
English
LU publication?
no
id
6d4b35e4-75a9-4a96-ae81-3506a8bfddd9
date added to LUP
2018-12-09 17:03:31
date last changed
2021-01-03 04:20:58
@article{6d4b35e4-75a9-4a96-ae81-3506a8bfddd9,
  abstract     = {{The properties of combined multiplier and penalty function methods are investigated using a second-order expansion and results known for the Riccati equation. It is shown that the lower bound of the values of the penalty constant necessary to obtain a minimum is given by a certain Riccati equation. The convergence rate of a common updating rule for the multipliers is shown to be linear.}},
  author       = {{Glad, Torkel}},
  issn         = {{0022-3239}},
  language     = {{eng}},
  number       = {{3}},
  pages        = {{303--329}},
  publisher    = {{Springer}},
  series       = {{Journal of Optimization Theory and Applications}},
  title        = {{A combination of penalty function and multiplier methods for solving optimal control problems}},
  url          = {{http://dx.doi.org/10.1007/BF00933377}},
  doi          = {{10.1007/BF00933377}},
  volume       = {{28}},
  year         = {{1979}},
}