Approximation to Nonlinear Optimal Control by Viscosity Approximation of H-J-B Equations
MA Jing-ying · Journal of Tongji University · 2005
In this article,we introduce the idea of using Lie series to give an approximation of the optimal tra- jectory of a nonlinear optimal control problem by a discrete process.The dynamic programming equation is solved by means of the viscosity approximation of value functions and a positive quadratic programming.By this way,a nonlinear dynamic programming is transformed to a linear approximation.The difficulty of solving an op- timal control problem is simplified.