A quasi-Newton differential dynamic programming algorithm for discrete- time optimal control
type: Item
instance of: scholarly article
title: A quasi-Newton differential dynamic programming algorithm for discrete- time optimal control
zbMATH Open document ID: 0627.93021
DOI: 10.1016/0005-1098(87)90031-8
published in: Automatica
publication date: 1987-01-01T00:00:00Z
review text: We develop a quasi-Newton differential dynamic programming algorithm (QDDP) for discrete-time optimal control problems. In the spirit of dynamic programming, the quasi-Newton approximations are performed in a stagewise manner. We establish the global convergence of the method and also show a superlinear convergence rate. Among other advantages of the QDDP method, second derivatives need not be calculated. In theory, the computational effort of each recursion grows proportionally to the number of stages N, whereas with conventional quasi-Newton techniques which do not take advantage of the optimal control problem structure, the growth is as \(N^ 2\). Computational results are also reported.
Mathematics Subject Classification ID: 93B40
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 93C55
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 90C52
Mathematics Subject Classification ID: 65K10
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 93C10
zbMATH DE Number: 4020940
zbMATH Keywords: quasi-Newton differential dynamic programming algorithm
zbMATH Keywords: discrete-time optimal control problems
zbMATH Keywords: global convergence
zbMATH Keywords: superlinear convergence rate
author: Suvrajeet Sen
author: S. Yakowitz
MaRDI profile type: Publication
full work available at URL: 0005-1098(87)90031-8
OpenAlex ID: W2007971149
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description: scientific article; zbMATH DE number 4020940