A numerical scheme for minimax optimal control problems

L.A. PARENTE; L.S. ARAGONE; J. GIANATTI; P.A. LOTITO

Santiago

Workshop; Workshop 2da Escuela en Control y Optimización; 2015

Universidad Técnica Federico Santa María

In this work we address a continuous-time minimax optimal control problem where the objective function is evaluated over a trajectory given by an ordinary dierential equation parameterized by the control. Under convexity assumptions, by using non-smooth optimization techniques, we derive a set of optimality conditions. We define an associated discrete-time optimal control problem where analogous conditions hold. From these optimality conditions we design a numericalscheme, we prove that it is a descent method and that every accumulation point of the generated sequence of controls is optimal. The introduced algorithm is easily implementable and returns a discrete control that gives a good approximation to the continuous solution. Some preliminary numerical results are shown.