T. Scarinci, V.M. Veliov:
"Higher-order numerical scheme for linear quadratic problems with bang-bang controls";
Computational Optimization and Applications, (2017), 20 S.

Kurzfassung englisch:
This paper considers a linear-quadratic optimal control problem where the control function appears linearly and takes values in a hypercube. It is assumed that the optimal controls are of purely bang-bang type and that the switching function, associated with the problem, exhibits a suitable growth around its zeros. The authors introduce a scheme for the discretization of the problem that doubles the rate of convergence of the Euler´s scheme. The proof of the accuracy estimate employs some recently obtained results concerning the stability of the optimal solutions with respect to disturbances.

Optimal control · Numerical methods · Bang-bang control · Linear-quadratic optimal control problems · Time-discretization methods

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