A New Analytical Method for Solving Hamilton-Jacobi-Bellman Equation

In this paper, we apply a modification of variational iteration method using Heʹs polynomials for a class of nonlinear optimal control problems which are converted to the Hamilton-Jacobi-Bellman equations (HJB) and present a convergence theorem of the method. The proposed modification is made by introducing Heʹs polynomials in the correction functional. The suggested algorithm is quite efficient and is practically well suited for using in these problems. Some examples are given to demonstrate the simplicity and efficiency of the proposed method.