Iterative Dynamic Programming of Optimal Control Problem Using a New Global Optimization Technique

摘要

This work presents an efficient global optimization algorithm suitable for the basic numerical engine of iterative dynamic programming (IDP). Random search method which is utilized with IDP, generally does not guarantee the optimality and hence a deterministic algorithm with finite £-convergence is recommended. In this work difference of convex envelope method is used as the global optimization technique, which generate the difference of convex underestimator of objective function iteratively. Using the proposed modified IDP, two optimal control problems are solved successfully.