Solution to a Non convex Linear Quadratic Optimal Control Problem with Constraint

Abstract:

It is studied how to solve the optimal control problem for a constrained linear system with a non convex cost functional. With Pontryagin’s maximum principle, a non convex quadratic programming is treated by a backward differential flow. Then the optimal control is obtained by solving a nonlinear differential boundary problem. An algorithm is given corresponding to the mathematical process. It follows by a numerical example.