Volume 71, August 2021FGS’2019 - 19th French-German-Swiss conference on Optimization
|Page(s)||145 - 154|
|Published online||01 September 2021|
A pseudospectral method for budget-constrained infinite horizon optimal control problems
Brandenburg University of Technology at Cottbus-Senftenberg, Institute for Mathematics, Platz der Deutschen Einheit 1, 03046 Cottbus, Germany
In this paper a generalization of the indirect pseudo-spectral method, presented in , for the numerical solution of budget-constrained infinite horizon optimal control problems is presented. Consideration of the problem statement in the framework of weighted functional spaces allows to arrive at a good approximation for the initial value of the adjoint variable, which is inevitable for obtaining good numerical solutions. The presented method is illustrated by applying it to the budget-constrained linear-quadratic regulator model. The quality of approximate solutions is demonstrated by an example.
© The authors. Published by EDP Sciences, SMAI 2021
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