A Recursive Elimination Method for Finite-Horizon Optimal Control Problems of Discrete-Time Rational Systems
A Recursive Elimination Method for Finite-Horizon Optimal Control Problems of Discrete-Time Rational Systems
In this technical note, a method of solving finite-horizon optimal control problems involving discrete-time rational systems is proposed. Sequences of algebraic equations for the control input and costate at each time are constructed backward, starting from the terminal condition, by the recursive elimination of variables in the optimality conditions. This …