A numerical indirect method for solving a class of optimal control problems

Abstract

In this paper, a numerical indirect method based on wavelets is proposed for solving the general continuous time-variant linear-quadratic optimal control problem. The necessary optimality conditions are applied to convert the main problem into a boundary value problem, as a dynamic system. The new problem, using two discrete schemes, Legendre and Chebyshev wavelets, is changed to a system of algebraic equations. To demonstrate the effciency of the proposed method two analytical and two numerical examples are given.