In this thesis, the objective is to provide an efficient and effective numerical method for solving the optimal control problems of linear systems with a quadratic performance index and inequality constraints on the state and control variables based on articles by H. R. Marzban and M. Razzaghi (????), H. R. Marzban and S. M. Hoseini (????). There are many methods for numerically solving optimal control problems. Numerical methods for solving optimal control problems are typically described under two categories: direct methods and indirect methods. Historically, many early numerical methods were based on finding solutions to satisfy a set of necessary optimality conditions resulting from Pontryagin’s Maximum Principle. These methods are collectively called indirect methods.
