Abstract :
A family of new first-order algorithms for solving continuous time optimal control problems is presented. The algorithms make use of the Riccati matrix differential equation and are capable of solving the linear quadratic problem in one step. The paper includes an analysis of the convergence of the proposed algorithms in the space of relaxed controls, as well as the proof of the reduction of the cost functional at each iteration and numerical examples.
Keywords :
"Optimal control","Riccati equations","Iterative algorithms","Differential equations","Algorithm design and analysis","Cost function","Convergence of numerical methods","Dynamic programming","Lagrangian functions","Minimization methods"
