Convergence analysis of a computational method for time-lag optimal control problems

Abstract

We consider a class of non-linear time-lag optimal control problems. The class of admissible controls are taken to be the class of piecewise smooth functions. A control parameterization technique is used to approximate the optimal control problem by a sequence of optimal parameter selection problems. The solution of each of these approximate problems gives rise to a sub-optimal solution to the true optimal control problem in an obvious way. The error bound is derived for the sub-optimal costs and the true optimal cost.