Geodesic
An SQP trust region method for solving the discrete-time linear quadratic control problem
International Journal of Applied Mathematics and Computer Science, Tome 22 (2012) no. 2, pp. 353-363.

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In this paper, a sequential quadratic programming method combined with a trust region globalization strategy is analyzed and studied for solving a certain nonlinear constrained optimization problem with matrix variables. The optimization problem is derived from the infinite-horizon linear quadratic control problem for discrete-time systems when a complete set of state variables is not available. Moreover, a parametrization approach is introduced that does not require starting a feasible solution to initiate the proposed SQP trust region method. To demonstrate the effectiveness of the method, some numerical results are presented in detail.
Keywords: output feedback control design, sequential quadratic programming, trust region method
Mots-clés : programowanie sekwencyjne, programowanie kwadratowe, system dyskretno-czasowy 
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Mostafa, E. M. E. An SQP trust region method for solving the discrete-time linear quadratic control problem. International Journal of Applied Mathematics and Computer Science, Tome 22 (2012) no. 2, pp. 353-363. http://geodesic.mathdoc.fr/item/IJAMCS_2012_22_2_a8/

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