A forward maximum principle algorithm with decision horizon results (Q1094104)

A discrete optimal control algorithm with separable state constraints \b{x}\({}_ i\leq x_ i\leq \underset {=} x_ i\) is presented. The algorithm uses the fact that at the time of tangency, \(x^*_ t=\underset {=} x_ t\) or \b{x}\({}_ t\), and trajectory for \(0<\tau <t\) is known, other steps of the algorithm adjust the costate. Convergence results are given in a concave case. An application is described informally about energy for residential heating.