We derive closed-form solutions for the linear-quadratic (LQ) optimal control problem subject to integral quadratic constraints. The optimal control is a non-linear function of the current state and the initial state. Furthermore, the optimal control is easily calculated by solving an unconstrained
Quadratic programming with quadratic constraints
โ Scribed by David P. Baron
- Publisher
- John Wiley and Sons
- Year
- 1972
- Tongue
- English
- Weight
- 401 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0894-069X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Portfolio optimization is a procedure for generating a portfolio composition which yields the highest return for a given level of risk or a minimum risk for given level of return. The problem can be formulated as a quadratic programming problem. We shall present a new and efticient optimization proc
This paper describes an approximate solution procedure for quadratic programming problems using parametric linear programming. Limited computational experience suggests that the approximation can be expected to be "good." ## PROBLEM DEFINITION We define the quadratic programming problem: Assume