Fourier–Hermite Dynamic Programming for Optimal Control

DOI10.1109/TAC.2023.3234236MaRDI QIDQ6184470zbMATH OpenOpenAlexFDO

Authors S. S. Hassan, Simo Särkkä

Publication date 25 January 2024

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.13453

zbMATH Keywords

approximate dynamic programmingdifferential dynamic programmingFourier-Hermite seriessigma-point dynamic programmingtrajectory optimization

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Abstract: In this paper, we propose a novel computational method for solving non-linear optimal control problems. The method is based on the use of Fourier--Hermite series for approximating the action-value function arising in dynamic programming instead of the conventional Taylor series expansion used in differential dynamic programming (DDP). The coefficients of the Fourier--Hermite series can be numerically computed by using sigma-point methods, which leads to a novel class of sigma-point based dynamic programming methods. We also prove the quadratic convergence of the method and experimentally test its performance against other methods.

Cited in

(1)

• Leveraging probabilistic optimal control for efficient trajectory optimization

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