A numerical algorithm for singular optimal LQ control systems (Q834655)

A numerical algorithm is developed for singular linear-quadratic(LQ) optimal control problems. The algorithm is based on the presymplectic constrained algorithm(PCA) of \textit{M. J. Gotay, J. M. Nester} and \textit{G. Hinds} [J. Math. Phys. 19, 2388--2399 (1978; Zbl 0418.58010)]. The linear differential-algebraic equation obtained from the singular LQ systems has a presymplectic form. Because the PCA preserves the structure of the system, it leads to consistent states and co-states. In the numerical implementation, at each iteration step a semi-explicit system is constructed which results from singular value decomposition. Numerical results for small LQ systems of arbitrary dimension and large index problems demonstrate the stable behavior of the algorithm.