A spectral iterative algorithm for solving constrained optimal control problems with nonquadratic functional

Abstract

The numerical approximation of the solution to Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs) in constrained optimal control problems (COCPs) with nonquadratic functional is studied in this investigation. Discretizing both of the space and time of HJB PDE by the Legendre collocation method, a nonlinear system of algebraic equations is obtained to find the expansion coefficients of the approximate solution. However, solving the system of nonlinear algebraic equations is generally relatively difficult and time-consuming. To improve the implementation of the method, we combine the Legendre collocation method with the policy iteration (PI) algorithm. This process leads to a sequence of linear systems of algebraic equations to find the expansion coefficients. The convergence results for the proposed method are provided. Moreover, it is shown that the PI algorithm for a class of constrained optimal control problems with odd nonquadratic functionals is mathematically equivalent to the quasi-Newton's iteration. Finally, the efficiency and accuracy of the method are demonstrated by solving a number of examples.