PIECEWISE-LINEAR CONTINUOUS OPTIMAL-CONTROL BY ITERATIVE DYNAMIC-PROGRAMMING

Iterative dynamic programming is extended to provide piecewise linear continuous control policies to systems described by sets of ordinary differential equations. To ensure continuity in the optimal control policy, only a single grid point is used for the state at each time stage. Three examples that are used to test the viability of the procedure show that the proposed procedure is attractive from the computational point of view and provides reliable results even for highly nonlinear systems that exhibit singular control.