A range-space method for piecewise-linear quadratic programming: an application to optimal control algorithms

A new method for solving a convex optimization problem with box constraints is presented. The objective function has a positive-definite quadratic term and a piecewise-linear term. The method is derived from a range space method for QP problems. The approach is particularly efficient if the piecewise-linear term has few breakpoints. Numerical comparisons with an efficient implementation of a null-space active-set algorithm (LSSOL) are also presented.<
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