Discrete Time Optimal Control Problems

Kok Lay Teo, Bin Li, Changjun Yu and Volker Rehbock
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Kok Lay Teo: Sunway University
Bin Li: Sichuan University
Changjun Yu: Shanghai University
Volker Rehbock: Curtin University

Chapter Chapter 5 in Applied and Computational Optimal Control, 2021, pp 121-172 from Springer

Abstract: Abstract Discrete time optimal control problems arise naturally in many multi-stage control and inventory problems where time enters discretely in a natural fashion. In this chapter, we first use the dynamic programming approach to study a class of discrete time optimal control problems. We then move on to consider a general class of constrained discrete time optimal control problems in canonical form. An efficient algorithm supported by a rigorous convergence analysis will be developed for solving this constrained discrete time optimal control problem.

Date: 2021
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DOI: 10.1007/978-3-030-69913-0_5

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