Split optimal policy iteration for LQR problems
Optimization and Control
2014-04-22 v1
Abstract
This technical report is concerned with the convergence properties of what we call the split optimal policy iteration for coupled LQR problems; see section 3.1 in the manuscript. Interestingly, the iteration shows different convergence behavior for continuous and discrete time systems: while global convergence holds for both cases, we have local quadratic convergence for the continuous time case, but only linear convergence for the discrete time case - even though quadratic convergence is retained in the limit as the coupling between the subsystems vanishes.
Keywords
Cite
@article{arxiv.1404.5209,
title = {Split optimal policy iteration for LQR problems},
author = {Péter Koltai},
journal= {arXiv preprint arXiv:1404.5209},
year = {2014}
}