The switch point algorithm
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Publication:5000638
DOI10.1137/21M1393315zbMATH Open1468.49029arXiv2011.10022OpenAlexW3098955265MaRDI QIDQ5000638FDOQ5000638
Authors: Mahya Aghaee, William Hager 
Publication date: 15 July 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: The Switch Point Algorithm is a new approach for solving optimal control problems whose solutions are either singular or bang-bang or both singular and bang-bang, and which possess a finite number of jump discontinuities in an optimal control at the points in time where the solution structure changes. Problems in this class can often be reduced to an optimization over the switching points. Formulas are derived for the derivative of the objective with respect to the switch points, the initial costate, and the terminal time. All these derivatives can be computed simultaneously in just one integration of the state and costate dynamics. Hence, gradient-based unconstrained optimization techniques, including the conjugate gradient method or quasi-Newton methods, can be used to compute an optimal control. The performance of the algorithm is illustrated using test problems with known solutions and comparisons with other algorithms from the literature.
Full work available at URL: https://arxiv.org/abs/2011.10022
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Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Discrete approximations in optimal control (49M25)
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Cited In (12)
- Computing switching surfaces in optimal control based on triangular decomposition
- Method for solving bang-bang and singular optimal control problems using adaptive Radau collocation
- Bang-bang optimal controls for a mathematical model of chemo- and immunotherapy in cancer
- Computations for bang–bang constrained optimal control using a mathematical programming formulation
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