680
eng
reportzib
0
2002-03-15
2002-03-15
--
Linear convergence of an interior point method for linear control constrained optimal control problems
The paper provides a detailed analysis of a short step interior point algorithm applied to linear control constrained optimal control problems. Using an affine invariant local norm and an inexact Newton corrector, the well-known convergence results from finite dimensional linear programming can be extended to the infinite dimensional setting of optimal control. The present work complements a recent paper of Weiser and Deuflhard, where convergence rates have not been derived. The choice of free parameters, i.e. the corrector accuracy and the number of corrector steps, is discussed.
02-13
681
urn:nbn:de:0297-zib-6809
Martin Weiser
ZIB-Report
02-13
eng
uncontrolled
linear optimal control
eng
uncontrolled
infinite dimensional
eng
uncontrolled
interior point methods
eng
uncontrolled
inexact Newton methods
Informatik, Informationswissenschaft, allgemeine Werke
Linear optimal control problems [See also 93C05]
Equations with linear operators (do not use 65Fxx)
Mathematical programming methods [See also 90Cxx]
Interior-point methods
Numerical Mathematics
Weiser, Martin
https://opus4.kobv.de/opus4-zib/files/680/ZR-02-13.ps
https://opus4.kobv.de/opus4-zib/files/680/ZR-02-13.pdf