An implicit discretization scheme for linear-quadratic control problems with bang–bang solutions
Walter Alt, Martin Seydenschwanz · Optimization methods & software · 2013
We analyse an implicit discretization scheme for a class of linear-quadratic optimal control problems. First, we show convergence of order O(h) for the optimal values of the objective function, where h is the mesh size. Under the additional assumption that the optimal control has bang–bang structure we show that the discrete and the continuous controls coincide except on a set of measure O(√h).