BocopHJB 1.0.1 – User Guide

Frédéric Bonnans 1, 2 Daphné Giorgi 3 Benjamin Heymann 4, 1 Pierre Martinon 2, 1 Olivier Tissot 2, 5
1 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France, UMA - Unité de Mathématiques Appliquées
5 ALPINES - Algorithms and parallel tools for integrated numerical simulations
Institut National des Sciences Mathématiques et de leurs Interactions, Inria de Paris, LJLL - Laboratoire Jacques-Louis Lions
Abstract : The original Bocop package implements a local optimization method. The optimal control problem is approximated by a finite dimensional optimization problem (NLP) using a time discretization (the direct transcription approach). The NLP problem is solved by the well known software Ipopt, using sparse exact derivatives computed by Adol-C. The second package BocopHJB implements a global optimization method. Similarly to the Dynamic Programming approach, the optimal control problem is solved in two steps. First we solve the Hamilton-Jacobi-Bellman equation satisfied by the value fonction of the problem. Then we simulate the optimal trajectory from any chosen initial condition. The computational effort is essentially taken by the first step, whose result, the value fonction, can be stored for subsequent trajectory simulations.
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Frédéric Bonnans, Daphné Giorgi, Benjamin Heymann, Pierre Martinon, Olivier Tissot. BocopHJB 1.0.1 – User Guide. [Technical Report] RT-0467, INRIA. 2015, pp.24. ⟨hal-01192610⟩

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