Weighted residual methods in optimal control

Abstract

Weighted residual methods (WRM) afford a viable approach to the numerical solution of differential equations. Application of WRM results in the transformation of differential equations into systems of algebraic equations in the modal coefficients. This suggests that WRM can be used as a tool for reducing optimal control problems to mathematical programming problems. Thereby, the optimal control problem is replaced by the minimization of a cost function of static coefficients subject to algebraic constraints. The motivation for this approach lies in the profusion of sophisticated computational algorithms and digital computer codes for the solution of mathematical programming problems. In this note the solution of optimal control problems as mathematical programming problems via WRM is illustrated. The example presented indicates that reasonable accuracy is obtained for modest computational effort. While the simplest types of modes-polynomials and piecewise constants-are employed in this note, the ideas delineated can be applied in conjunction with cubic splines for the generation of computational algorithms of enhanced efficiency.