Solution of linear two-point boundary value problems via Fourier series and application to optimal control of linear systems (Q914918)

Using truncated Fourier series an approximation of the boundary value problem: \(x'=E.x+F.u(t),\) \(0\leq t\leq s\), \(x_ 1(0)=x_{10}\), \(x_ 2(s)=x_{20}\), \(x=(x_ 1,x_ 2)^ T\), is reduced to a system of linear algebraic equations of the form: \(Y^ T-A_ 1Y^ TP-A_ 2Y^ TS.P=W\) defined by given space matrices \(A_ 1\), \(A_ 2\), P, S, W. It is suggested that the method may be useful for the boundary value problem describing the solution of a linear-quadratic optimal control problem and two numerical experiments are presented.