Sequential rank‐one/rank‐two updates for quasi‐newton differential dynamic programming
作者:
A. Rakshit,
S. Sen,
期刊:
Optimal Control Applications and Methods
(WILEY Available online 1990)
卷期:
Volume 11,
issue 1
页码: 95-101
ISSN:0143-2087
年代: 1990
DOI:10.1002/oca.4660110109
出版商: Wiley Subscription Services, Inc., A Wiley Company
关键词: Optimal control;Dynamic programming;Quasi‐Newton approximations
数据来源: WILEY
摘要:
AbstractThis communication presents computational results with a variant of differential dynamic programming. The class of methods is motivated by quasi‐Newton methods and constructs quadratic approximations by using stagewise gradients. We compare two methods of updating the approximations: the first is based on the symmetric Broyden update and the second is a sequential rank‐one/rank‐two update. Our computational results suggest that the latter is a practical and efficient algorithm for discrete‐time optimal
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