A Comparison of Numerical Methods for Solving Optimal Control Problems

Linear systems with quadratic performance criteria typically lead to two-point boundary value problems. The numerical solution of such problems is often difficult because of roundoff and truncation errors. In this paper numerical methods for digital computer solutions are considered for a system described by a given second-order linear differential equation and the results are compared. The results show that where accurate analytic solutions cannot be obtained, the invariant imbedding technique yields more accurate results, for a given integration grid interval, than the other methods considered.