Efficient dynamic programming implementations of Newton's method for unconstrained optimal control problems

DOI10.1007/BF00940728MaRDI QIDQ1113448zbMATH OpenFDO

Authors S. H. Smith

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00940728

zbMATH Keywords

Bolza objective functionsdynamic programmingNewton's methodunconstrained N-stage discrete-time optimal control problems

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Newton-type methods (49M15) Numerical optimization and variational techniques (65K10) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55)

Review text

Naive implementations of Newton's method for unconstrained N-stage discrete-time optimal control problems with Bolza objective functions tend to increase in cost like \(N^ 3\) as N increases. However, if the inherent recursive structure of the Bolza problem is properly exploited, the cost of computing a Newton step will increase only linearly with N. The efficient Newton implementation scheme proposed here is similar to Mayne's DDP (differential dynamic programming) method but produces the Newton step exactly, even when the dynamical equations are nonlinear. The proposed scheme is also related to a Riccati treatment of the linear, two-point boundary-value problems that characterize optimal solutions. For discrete-time problems, the dynamic programming approach and the Riccati substitution differ in an interesting way; however, these differences essentially vanish in the continuous-time limit.

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Cited in

(26)

• A quasi-Newton differential dynamic programming algorithm for discrete- time optimal control
• A projected Newton method for minimization problems with nonlinear inequality constraints
• Some efficient algorithms for unconstrained discrete-time optimal control problems
• Dynamic programming method for constrained discrete-time optimal control
• Interior point methods for optimal control of discrete time systems
• Family of projected descent methods for optimization problems with simple bounds
• Efficient sequential quadratic programming implementations for equality-constrained discrete-time optimal control
• System-based approaches for structural optimization of flexible mechanisms
• An efficient trust region method for unconstrained discrete-time optimal control problems
• Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
• Newton's method, Bellman recursion and differential dynamic programming for unconstrained nonlinear dynamic games
• Multiple window moving horizon estimation
• Convergence of algorithms for perturbed optimization problems
• On Pantoja's problem allegedly showing a distinction between differential dynamic programming and stagewise Newton methods
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• Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
• Efficient robust optimization for robust control with constraints

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