Symplectic Runge-Kutta discretization of a regularized forward-backward sweep iteration for optimal control problems
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Publication:2199787
Optimality conditions for problems involving ordinary differential equations (49K15) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Numerical methods of relaxation type (49M20)
Abstract: Li, Chen, Tai & E. (J. Machine Learning Research, 2018) have proposed a regularization of the forward-backward sweep iteration for solving the Pontryagin maximum principle in optimal control problems. The authors prove the global convergence of the iteration in the continuous time case. In this article we show that their proof can be extended to the case of numerical discretization by symplectic Runge-Kutta pairs. We demonstrate the convergence with a simple numerical experiment.
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