Extension of a linear quadratic tracking algorithm include control constraints
Y.T. Chan, J.-P. Maille · IEEE Transactions on Automatic Control · 1975
Pindyck's [1] algorithm is extended to include problems with magnitude constraints on the controls. The modification to the original solution involves only an additional term (containing the co-constraint vectors) each in the "tracking vector" and the optimal control. The co-contraint vectors are found by iteration using a gradient procedure.