Initialization of the shooting method via the Hamilton-Jacobi-Bellman approach
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Publication:604254
DOI10.1007/S10957-010-9649-6zbMATH Open1200.49030arXiv0910.0521OpenAlexW2087599797MaRDI QIDQ604254FDOQ604254
Authors: Emiliano Cristiani, P. Martinon 
Publication date: 10 November 2010
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Abstract: The aim of this paper is to investigate from the numerical point of view the possibility of coupling the Hamilton-Jacobi-Bellman (HJB) equation and Pontryagin's Minimum Principle (PMP) to solve some control problems. A rough approximation of the value function computed by the HJB method is used to obtain an initial guess for the PMP method. The advantage of our approach over other initialization techniques (such as continuation or direct methods) is to provide an initial guess close to the global minimum. Numerical tests involving multiple minima, discontinuous control, singular arcs and state constraints are considered. The CPU time for the proposed method is less than four minutes up to dimension four, without code parallelization.
Full work available at URL: https://arxiv.org/abs/0910.0521
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Hamilton-Jacobi-Bellman equationsoptimal control problemsPontryagin's minimum principleshooting methodminimum time problems
Control problems involving ordinary differential equations (34H05) Numerical methods based on necessary conditions (49M05)
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Cited In (5)
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