Dynamic programming approach for nonlinear systems

The objective of this paper is to study by means of dynamic programming the optimal control of nonlinear continuous systems. We apply to these systems a development of block pulse for the state and a nonuniform discretisation of the state space. As a particular case of a nonlinear system, we analysed a continuous dual control problem, and we carried out an implementation of a stochastic control policy on a real process, a DC motor.