A numerical indirect method for solving a class of optimal control problems

Abstract

In this paper, a numerical indirect method based on wavelets is proposedfor solving the general continuous time-variant linear quadratic optimal con-trol problem. The necessary optimality conditions are applied to convert themain problem into a boundary value problem, as a dynamic system. Thenew problem, using two discrete schemes, Legendre and Chebyshev wavelets,is changed to a system of algebraic equations. To demonstrate the efficiencyof the proposed method two analytical and two numerical examples are given