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V.M. Veliov, V. Phan:
"Gradient Methods on Strongly Convex Feasible Sets and Optimal Control of Affine Systems";
Applied Mathematics and Optimization, * (2018), 06-Oct-2018; 34 S.

The paper presents new results about convergence of the gradient projection and the conditional gradient methods for abstract minimization problems on strongly convex sets. In particular, linear convergence is proved, although the objective functional does not need to be convex. Such problems arise, in particular, when a recently developed discretization technique is applied to optimal control problems which are affine with respect to the control. This discretization technique has the advantage to provide higher accuracy of discretization (compared with the known discretization schemes) and involves strongly convex constraints and possibly non-convex objective functional. The applicability of the abstract results is proved in the case of linear-quadratic affine optimal control problems, and error estimates are obtained. A numerical example is given, confirming the theoretical findings.

optimal control, mathematical programming, numerical methods, gradient meth- ods, affine control systems, bang-bang control

http://dx.doi.org/10.1007/s00245-018-9528-3

https://publik.tuwien.ac.at/files/publik_272666.pdf