Fourier–Hermite Dynamic Programming for Optimal Control

DOI10.1109/TAC.2023.3234236arXiv2202.13453OpenAlexW4313591088MaRDI QIDQ6184470FDOQ6184470

Authors: S. S. Hassan, Simo Särkkä 

Publication date: 25 January 2024

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Abstract: In this paper, we propose a novel computational method for solving non-linear optimal control problems. The method is based on the use of Fourier--Hermite series for approximating the action-value function arising in dynamic programming instead of the conventional Taylor series expansion used in differential dynamic programming (DDP). The coefficients of the Fourier--Hermite series can be numerically computed by using sigma-point methods, which leads to a novel class of sigma-point based dynamic programming methods. We also prove the quadratic convergence of the method and experimentally test its performance against other methods.

Full work available at URL: https://arxiv.org/abs/2202.13453

zbMATH Keywords

approximate dynamic programmingtrajectory optimizationdifferential dynamic programmingFourier-Hermite seriessigma-point dynamic programming

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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