Cutting plane algorithms and state space constrained linear optimal control problems

摘要

In this paper an algorithm is proposed for solving continuous linear optimal control systems with state space constraints by solving a sequence of linear optimal control systems without state space constraints. The convergence of the algorithm is proved by a method similar to cutting plane algorithm for convex programs in Banach Spaces. It is also shown how to solve the problem by using mathematical programming algorithm on the discretized problem. A numerical example is solved by discretization and mathematical programming.