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In this paper we consider the optimal linear-quadratic control problem with inequality constraints on controls and states for a linear time-varying discrete-time system. In order to solve such a problem, we derive necessary conditions of optimality for an equivalent optimization problem, and then we propose a new algorithm to solve the resulting se...
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This paper proposed an algorithm for the solution of continuous linear-quadratic optimal control problem of linear systems with state and control constraints. This algorithm is based on solving the set of equations resulted from the derived necessary conditions of optimality. Under the assumption that the original problem has a solution, the conver...