An iterative algorithm for the optimal control of continuous-time switched linear systems

For continuous-time switched linear systems, this paper proposes an approach for solving infinite-horizon optimal control problems where the decision variables are the switching instants and the sequence of operating modes. The procedure iterates between a "master" procedure that finds an optimal switching sequence of modes, and a "slave" procedure that finds the optimal switching instants. The effectiveness of the approach is shown through simple simulation examples.