Global optimal control of perturbed systems

L. Grüne, O. Junge: Global optimal control of perturbed systems
Journal of Optimization Theory and Applications (JOTA) 136, 411 - 429, 2008

DOI: 10.1007/s10957-007-9312-z
Keywords: optimal control; dynamic games; set-oriented numerics; graph Theory
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We propose a new numerical method for the computation of the optimal value function of perturbed control systems and associated globally stabilizing optimal feedback controllers. The method is based on a set oriented discretization of state space in combination with a new algorithm for the computation of shortest paths in weighted directed hypergraphs. Using the concept of a multivalued game, we prove convergence of the scheme as the discretization parameter goes to zero.

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