A reduction method for optimal control of Volterra integral equations
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Abstract: We present and analyze a new method for solving optimal control problems for Volterra integral equations, based on approximating the controlled Volterra integral equations by a sequence of systems of controlled ordinary differential equations. The resulting approximating problems can then be solved by dynamic programming methods for ODE controlled systems. Other, straightforward versions of dynamic programming, are not applicable to Volterra integral equations. We also derive the connection between our version of dynamic programming and the Hamiltonian equations for Volterra controlled systems.
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Cites work
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- Differential-integral Euler-Lagrange equations
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- Zero-sum games for Volterra integral equations and viscosity solutions of path-dependent Hamilton-Jacobi equations
- On differential-integral optimal control problems
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