A combination of penalty function and multiplier methods for solving optimal control problems
(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.
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- author
- Glad, Torkel
- organization
- publishing date
- 1979
- 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}}, }