A linear programming approach to large-scale linear optimal control problems

This paper considers the solution of large-scale linear optimal control problems subject to linear control and state constraints by application of a linear programming (LP) based methodology. The proposed algorithm is based on a particular LP-method that is suitably modified and adapted to the structure of the considered discrete-time dynamic problem in order to keep the computation time low and efficiently store the arising large, but sparse, matrices. The algorithm is shown to solve problems involving several thousands of variables in few CPUs