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Optimal control of a dynamical system with intermediate phase constraints and applications in cash management
2021
Numerical Algebra, Control and Optimization
The aim of this work is to apply the results of R. Gabasov et al. [4, 14] to an extended class of optimal control problems in the Bolza form, with intermediate phase constraints and multivariate control. In this paper, the developed iterative numerical method avoids the discretization of the dynamical system. Indeed, by using a piecewise constant control, the problem is reduced for each iteration to a linear programming problem, this auxiliary task allows to improve the value of the quality
doi:10.3934/naco.2021005
fatcat:xaaojn73jjanjigwanbw6svzd4