Use of Line Search in the Luus-Jaakola Optimization Procedure

R. Luus (Toronto)


Optimal control; LJ optimization procedure; Model reduction; Parameter estimation; Line search


A significant improvement in the rate of conver gence of the Luus-Jaakola (LJ) optimization procedure is achieved by incorporating a simple line search. The line search is used to determine the best centre point after every pass, consisting of a number of iterations. At the end of each pass the region size over which the candidates for optimization were chosen was set equal to the amount by which the corresponding variable had changed during the previous pass. Inclusion of the line search after every pass to give the best cen ter point yielded very rapid convergence for three test problems.

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