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Numerical computation of the optimal feedback law¶for nonlinear infinite time horizon control problems

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Abstract:

An approach to the numerical computation of the optimal feedback law for nonlinear infinite time horizon control problems is presented and tested. For a sequence of control systems with truncated time horizon the canonical equations are solved by an adapted multiple shooting algorithm. Interpolation of computed costates gives a feedback law on a prescribed region of the state space. Numerical findings indicate applicability of this procedure to problems in higher dimensions.

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  1. Institut für Mathematik, Universität Graz, Heinrichstraße 36, 8010 Graz, Austria¶e-mail: wolfgang.prager@kfunigraz.ac.at, , , , , , AT

    W. Prager

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  1. W. Prager
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Received: February 1999 / Accepted: July 1999

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Prager, W. Numerical computation of the optimal feedback law¶for nonlinear infinite time horizon control problems. CALCOLO 37, 97–123 (2000). https://doi.org/10.1007/s100920070010

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  • DOI: https://doi.org/10.1007/s100920070010

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