A newton-kantorovich iteration for the solution of the hamil ton-jacobi-bellman equation
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Copyright © 2004 IFAC. The present work develops a truncated Newton-Kantorovich iteration for the solution of the Mamilton-Jacobi-Bellman equation, to calculate the nonlinear state feedback law which optimizes a given quadratic performance index over an infinite time horizon. At each step of the iteration, a Zubov-type partial differential equation is solved using a power series method up to a finite truncation order. At step N of the iteration, the method generates the N-th order truncation of the Taylor series expansion of the optimal state feedback function.
author list (cited authors)
Pappas, A., & Kravaris, C.