A new approach to differential dynamic programming for discrete time systems

摘要: This paper proposes a new differential dynamic programming algorithm for solving discrete time optimal control problems with equality and inequality constraints on both state variables proves its convergence. The present is different from algorithms developed in [10]-[15], which can hardly solve whose convergence has not been proved. Composed of iterative methods systems nonlinear equations, it based upon Kuhn-Tucker conditions recurrence relations programming. Numerical examples show file efficiency the algorithm.