Pseudospectral methods for solving infinite-horizon optimal control problems
โ 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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โฆ 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 = +โ. 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 โ [0, โ) onto a half-open interval ฯ โ [-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 = +โ. 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, +โ) can be tuned to improve the quality of the discrete approximation.
๐ SIMILAR VOLUMES
In this paper the relations between the finite horizon optimal control problem with receding horizon and the infinite horizon problem are discussed; the system is assumed to be linear, time-invariant, and stabilizable. The cost function is quadratic but the output in the integral of the cost functio