Multi-criteria linear-quadratic control problem by KSH-direction interior-point method
We describe an implementation of an infinite dimension interior-point method for solving multi-criteria linear -quadratic control problem based on KSH-direction. It is shown that such a descent direction is independent on the scaling point. Each iteration requires solving finite rank perturbation of...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2014
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| Online Access: | http://www.scopus.com/inward/record.url?eid=2-s2.0-79951890369&partnerID=40&md5=9cace03be863646a39121aec02dacdaf http://cmuir.cmu.ac.th/handle/6653943832/6610 |
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| Institution: | Chiang Mai University |
| Language: | English |
| Summary: | We describe an implementation of an infinite dimension interior-point method for solving multi-criteria linear -quadratic control problem based on KSH-direction. It is shown that such a descent direction is independent on the scaling point. Each iteration requires solving finite rank perturbation of linear-quadratic control problems and a system of algebraic equations. The numerical result shows rapid convergence to the optimal solution. |
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