Convergence of a Gauss Pseudospectral Method for Optimal Control

摘要

A convergence theory is presented for approximations of continuous-time optimal control problems based on a Gauss pseudospectral discretization. Under assumptions of coercivity and smoothness, the Gauss pseudospectral method has a local minimizer that converges exponentially fast in the sup-norm to a local min-imizer of the continuous-time optimal control problem. The convergence theorem is presented and an example is given that illustrates the exponential convergence.