Implementation of Infinite Dimensional Interior Point Method for Solving Multi-criteria Linear-Quadratic Control Problem

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 Citation Preprint, May, 2004, University of Notre … Read more