Journal Article

A new algorithm for finding numerical solutions of optimal feedback control

Bao-Zhu Guo and Bing Sun

in IMA Journal of Mathematical Control and Information

Published on behalf of Institute of Mathematics and its Applications

Volume 26, issue 1, pages 95-104
Published in print March 2009 | ISSN: 0265-0754
Published online March 2009 | e-ISSN: 1471-6887 | DOI: http://dx.doi.org/10.1093/imamci/dnn001
A new algorithm for finding numerical solutions of optimal feedback control

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A new algorithm for finding numerical solutions of optimal feedback control based on dynamic programming is developed. The algorithm is based on two observations: (1) the value function of the optimal control problem considered is the viscosity solution of the associated Hamilton–Jacobi–Bellman (HJB) equation and (2) the appearance of the gradient of the value function in the HJB equation is in the form of directional derivative. The algorithm proposes a discretization method for seeking optimal control–trajectory pairs based on a finite-difference scheme in time through solving the HJB equation and state equation. We apply the algorithm to a simple optimal control problem, which can be solved analytically. The consistence of the numerical solution obtained to its analytical counterpart indicates the effectiveness of the algorithm.

Keywords: optimal feedback control; viscosity solution; dynamic programming; numerical solution; exponential stability

Journal Article.  0 words. 

Subjects: Mathematics

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