ON CONSTRAINED INFINITE-TIME LINEAR-QUADRATIC OPTIMAL-CONTROL

This work presents a solution to the infinite-time linear quadratic op timal control (ITLQOC) problem with state and control constraints. It is shown that a single, finite dimensional, convex program of known si ze can yield this solution. Properties of the resulting value function , with respect to initial conditions, are also established and are sho wn to be useful in determining the aforementioned problem size. An exa mple illustrating the method is finally presented.