A direct approach using the finite element method for the solution of the linear optimal control problem with a quadratic criterion

Abstract

The present paper proposes a numerical approach to a linear optimal control problem with a quadratic performance index. In this technique, the time interval is divided into a number of time segments and all of the unknown functions which appear in the performance index are either interpolated linearly with respect to time or assumed to be constant in each time segment. The augmented performance index is discretized within each time element through the ordinary finite element technique. The main advantage of the present method is as follows: all of the necessary conditions for the performance index to be stationary can be expressed in the form of algebraic equations and the performance sequence of the state variables can be eliminated. As a result, the optimal control problem is reduced to the simple one of finding the sequence of control variables alone, which minimizes the quadratic performance index. A general formulation of the method is given and simple numerical examples are shown to demonstrate the effectiveness of the technique.