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Pseudospectral methods for solving infinite-horizon optimal control problems

โœ Scribed by Divya Garg; William W. Hager; Anil V. Rao


Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
665 KB
Volume
47
Category
Article
ISSN
0005-1098

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โœฆ Synopsis


An important aspect of numerically approximating the solution of an infinite-horizon optimal control problem is the manner in which the horizon is treated. Generally, an infinite-horizon optimal control problem is approximated with a finite-horizon problem. In such cases, regardless of the finite duration of the approximation, the final time lies an infinite duration from the actual horizon at t = +โˆž. In this paper we describe two new direct pseudospectral methods using Legendre-Gauss (LG) and Legendre-Gauss-Radau (LGR) collocation for solving infinite-horizon optimal control problems numerically. A smooth, strictly monotonic transformation is used to map the infinite time domain t โˆˆ [0, โˆž) onto a half-open interval ฯ„ โˆˆ [-1, 1). The resulting problem on the finite interval is transcribed to a nonlinear programming problem using collocation. The proposed methods yield approximations to the state and the costate on the entire horizon, including approximations at t = +โˆž. These pseudospectral methods can be written equivalently in either a differential or an implicit integral form. In numerical experiments, the discrete solution exhibits exponential convergence as a function of the number of collocation points. It is shown that the map ฯ† : [-1, +1) โ†’ [0, +โˆž) can be tuned to improve the quality of the discrete approximation.


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