We relate a deterministic Kalman filter on semi-infinite interval to linear-quadratic tracking control model with unfixed initial condition CitationTechnical report, University of Notre Dame, October, 2011ArticleDownload View PDF
We describe an implementation of an infinite-dimensional primal-dual algorithm based on the Nesterov-Todd direction. Several applications to both continuous and discrete-time multi-criteria linear-quadratic control problems and linear-quadratic control problem with quadratic constraints are described. Numerical results show a very fast convergence (typically, within 3-4 iterations) to optimal solutions CitationPreprint, May, 2004, University of Notre DameArticleDownload … Read more