A numerically stable method for convex optimal control problems. (English) Zbl 1052.49030

Azhmyakov, Vadim

J. Nonlinear Convex Anal. 5, No. 1, 1-18 (2004).

The author considers an optimal control problem for an ordinary differential equation with linear dynamics, and a convex cost function. He introduces then a piecewise constant discretization of the control, that he suggests to solve by a proximal point algorithm. He provides some limited numerical results.

Reviewer: Joseph Frédéric Bonnans (Le Chesnay)

MSC:

49M25	Discrete approximations in optimal control
49J15	Existence theories for optimal control problems involving ordinary differential equations
90C48	Programming in abstract spaces

Keywords:

optimal control; ordinary differential equations; convex optimization; discretization; approximation