The stagewise Kuhn-Tucker condition and differential dynamic programming

摘要: The intention of this work is to describe and examine a differential dynamic programming (DDP) algorithm for constrained, discrete-time optimal control. This has performed successfully on large-scale reservoir control problem [11]. present paper gives conditions under which convergence the stationary policy assured. demonstration hinges upon notion we refer as "stagewise" Kuhn-Tucker condition. Strategies generated satisfy condition determine policies conventional observation may be wider importance in discrete theory, stagewise might convenient criterion constructing strategies.