NUMERICAL SOLUTION OF LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEMS FOR SWITCHING SYSTEMS

Abstract

In this paper we discuss the approach for optimal switching control problem with unknown switching points. The case with unknown switching point is more general and generalizes the results existing in the literature. By using suitable transformation the main problem is reduced into a problem with known interval and further the unknown boundary of the integral in the minimization functional is reduced to the known one. This fact is illustrated by an example. The reduced problem is solved numerically by using the Gradient Projection Method Algorithm.