descriptionPublicationkeyboard_double_arrow_right Article 01 Jul 1986 English Publisher:Institute of Electrical and Electronics Engineers (IEEE)Journal:IEEE Transactions on Automatic Control, volume 31, pages 673-676 (issn: 0018-9286,

Authors: Fukushima, Masao; Yamamoto, Yutaka;

doi: 10.1109/tac.1986.1104364

A second-order algorithm for continuous-time nonlinear optimal control problems

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Abstract

A second-order algorithm is presented for the solution of continuous-time nonlinear optimal control problems. The algorithm is an adaptation of the trust region modifications of Newton's method and solves at each iteration a linear-quadratic control problem with an additional constraint. Under some assumptions, the proposed algorithm is shown to possess a global convergence property. A numerical example is presented to illustrate the method.

Related Organizations

Kyoto University
Japan

Keywords

global convergence, Numerical optimization and variational techniques, Nonlinear systems in control theory, second-order algorithm, trust region, Newton-type methods, Computational methods in systems theory, Control/observation systems governed by ordinary differential equations, continuous-time, continuous-time nonlinear optimal control problems

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