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A pseudospectral method for budget-constrained infinite horizon optimal control problems.
- Source :
-
ESAIM: Proceedings & Surveys . 2021, Vol. 71, p145-154. 10p. - Publication Year :
- 2021
-
Abstract
- In this paper a generalization of the indirect pseudo-spectral method, presented in [17], for the numerical solution of budget-constrained infinite horizon optimal control problems is presented. Consideration of the problem statement in the framework of weighted functional spaces allows to arrive at a good approximation for the initial value of the adjoint variable, which is inevitable for obtaining good numerical solutions. The presented method is illustrated by applying it to the budget-constrained linear-quadratic regulator model. The quality of approximate solutions is demonstrated by an example. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 22673059
- Volume :
- 71
- Database :
- Academic Search Index
- Journal :
- ESAIM: Proceedings & Surveys
- Publication Type :
- Conference
- Accession number :
- 169855327
- Full Text :
- https://doi.org/10.1051/proc/202171145