An iterative procedure for solving a control problem with phase constraints (Q1571237)

The authors construct the optimal control for a linear time-dependent dynamical system with a quadratic optimality criterion under the assumption that both feasible controls and the corresponding trajectories are restricted by functional constraints given by inequalities. This problem can be reduced to finding a minimal solution of a set of linear inequalities in the Hilbert space. To solve the latter problem a new algorithm has been constructed that is stable with respect to calculation errors. The authors present estimates for the rate of convergence.