Volume 24, Number 3, July–September 2018
|Page(s)||965 - 983|
|Published online||11 July 2018|
A semi-Lagrangian algorithm in policy space for hybrid optimal control problems
Dipartimento di Matematica e Fisica, Università Roma Tre, L.go S. Leonardo Murialdo, 1,
2 Unité de Mathématiques Appliquées – ENSTA Paristech, 828 Boulevard des Maréchaux, 91120 Palaiseau, France.
a Corresponding author: firstname.lastname@example.org
Accepted: 9 March 2017
The mathematical framework of hybrid system is a recent and general tool to treat control systems involving control action of heterogeneous nature. In this paper, we construct and test a semi-Lagrangian numerical scheme for solving the Dynamic Programming equation of an infinite horizon optimal control problem for hybrid systems. In order to speed up convergence, we also propose and analyze an acceleration technique based on policy iteration. Finally, we validate the approach via some numerical tests in low dimension.
Mathematics Subject Classification: 34A38 / 49L20 / 65B99 / 65N06
Key words: Hybrid control / dynamic programming / semi-lagrangian schemes / policy iteration
© EDP Sciences, SMAI 2018
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