Higher-order numerical scheme for linear quadratic problems with bang–bang controls

T. Scarinci () and Vladimir Veliov ()
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T. Scarinci: University of Vienna

Computational Optimization and Applications, 2018, vol. 69, issue 2, No 6, 403-422

Abstract: Abstract This paper considers a linear-quadratic optimal control problem where the control function appears linearly and takes values in a hypercube. It is assumed that the optimal controls are of purely bang–bang type and that the switching function, associated with the problem, exhibits a suitable growth around its zeros. The authors introduce a scheme for the discretization of the problem that doubles the rate of convergence of the Euler’s scheme. The proof of the accuracy estimate employs some recently obtained results concerning the stability of the optimal solutions with respect to disturbances.

Keywords: Optimal control; Numerical methods; Bang–bang control; Linear-quadratic optimal control problems; Time-discretization methods; 49M25; 65L99; 49J30; 49N10; 49J15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10589-017-9948-z

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