A new method for optimal control of Volterra integral equations

Details A new method for optimal control of Volterra integral equations A new method for optimal control of Volterra integral equations

2006-11-08

arxiv.org/abs/math/0611243v1

Mathematics

Optimization and Control

31 pages

Scientific paper

We formulate and analyze a new method for solving optimal control problems for systems governed by Volterra integral equations. Our method utilizes discretization of the original Volterra controlled system and a novel type of dynamic programming jn which the Hamilton-Jacobi function is parametrized by the control function (rather than the state, as in the case of ordinary dynamic programming). We also derive estimates for the computational cost of our method.

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