Geodesic
A pseudospectral method for budget-constrained infinite horizon optimal control problems
Angie Burtchen1 ; Valeriya Lykina1 ; Sabine Pickenhain1
1Brandenburg University of Technology at Cottbus-Senftenberg, Institute for Mathematics, Platz der Deutschen Einheit 1, 03046 Cottbus, Germany
ESAIM. Proceedings, Tome 71 (2021), pp. 145-154
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In this paper a generalization of the indirect pseudo-spectral method, presented in [17], for the numerical solution of budget-constrained infinite horizon optimal control problems is presented. Consideration of the problem statement in the framework of weighted functional spaces allows to arrive at a good approximation for the initial value of the adjoint variable, which is inevitable for obtaining good numerical solutions. The presented method is illustrated by applying it to the budget-constrained linear-quadratic regulator model. The quality of approximate solutions is demonstrated by an example.
DOI : 10.1051/proc/202171145

Angie Burtchen  1   ; Valeriya Lykina  1   ; Sabine Pickenhain  1

1 Brandenburg University of Technology at Cottbus-Senftenberg, Institute for Mathematics, Platz der Deutschen Einheit 1, 03046 Cottbus, Germany 
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Angie Burtchen; Valeriya Lykina; Sabine Pickenhain. A pseudospectral method for budget-constrained infinite horizon optimal control problems. ESAIM. Proceedings, Tome 71 (2021), pp. 145-154. doi: 10.1051/proc/202171145

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