Initialization of the shooting method via the Hamilton-Jacobi-Bellman approach

Emiliano Cristiani 1 Pierre Martinon 1, 2
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
Abstract : The aim of this paper is to investigate from the numerical point of view the possibility of coupling the Hamilton-Jacobi-Bellman (HJB) approach and the Pontryagin's Minimum Principle (PMP) to solve some control problems. We show that an approximation of the value function computed by the HJB method on rough grids can be used to obtain a good initial guess for the PMP method. The advantage of our approach over other initialization techniques (such as continuation or direct methods) is to provide an initial guess close to the global minimum. Numerical tests involving multiple minima, discontinuous control, singular arcs and state constraints are considered. The CPU time for the proposed method is less than four minutes up to dimension four, without code parallelization.
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Submitted on : Monday, December 7, 2009 - 5:43:11 PM
Last modification on : Monday, September 30, 2019 - 10:46:02 AM
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Emiliano Cristiani, Pierre Martinon. Initialization of the shooting method via the Hamilton-Jacobi-Bellman approach. Journal of Optimization Theory and Applications, Springer Verlag, 2010, 146 (2), pp.321-346. ⟨10.1007/s10957-010-9649-6⟩. ⟨inria-00439543⟩

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