On the Anderson-Moore method for solving the optimal output feedback problem
- 1 September 1984
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 29 (9) , 834-836
- https://doi.org/10.1109/tac.1984.1103672
Abstract
A descent Anderson-Moore method for solving the optimal constant output feedback gains for the stochastic discrete-time optimal output feedback problem is discussed. An efficient descent mapping algorithm is given in detail. The algorithm involves a partial line search mapping implemented as a finite search process to determine a step-length parameter so as to guarantee global convergence of the algorithm to a stationary point of the loss function under very mild assumptions. Furthermore, the algorithm involves a scheme to bound the condition numbers of certain critical matrix inverses in the Anderson-Moore method so that the algorithm can be applied to a wider class of control problems.Keywords
This publication has 10 references indexed in Scilit:
- Constrained linear quadratic gaussian control with process applicationsAutomatica, 1984
- Parameter optimization in linear systems with arbitrarily constrained controller structureIEEE Transactions on Automatic Control, 1980
- Algorithms for the computation of optimal output feedback gainsPublished by Institute of Electrical and Electronics Engineers (IEEE) ,1979
- On some algorithms for design of optimal constrained regulatorsIEEE Transactions on Automatic Control, 1978
- Survey of decentralized control methods for large scale systemsIEEE Transactions on Automatic Control, 1978
- A rank-one algorithm for unconstrained function minimizationJournal of Optimization Theory and Applications, 1977
- An algorithm for designing suboptimal dynamic controllersIEEE Transactions on Automatic Control, 1974
- Solution of the optimal constant output feedback problem by conjugate gradientsIEEE Transactions on Automatic Control, 1974
- On the determination of the optimal constant output feedback gains for linear multivariable systemsIEEE Transactions on Automatic Control, 1970
- On Steepest DescentJournal of the Society for Industrial and Applied Mathematics Series A Control, 1965