Minimizing a sensitivity function as boundary-value problem in terminal control

Abstract

A problem of terminal control with linear dynamics on a finite time interval is considered. The right-hand end of trajectory is defined implicitly as a solution of boundary-value problem. The problem is reduced to finding a saddle point of the Lagrange function, and linear dynamics is regarded as an equality-type constraint. Dual extraproximal iterative method for solving the problem was proposed, and convergence of the method to problem solution in all components was proved.