On convergence of the Monotone Structural Evolution

摘要

The paper studies convergence of the Monotone Structural Evolution (MSE), a computational method of optimal control. The principles of MSE are described and an expository example presents the method in action. It is then proved that under appropriate assumptions the method is convergent to the decision space stationarity conditions. Observations on finite convergence and on connections with Pontryagin's maximum principle are also provided.