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A numerical method for approximate calculation of the value function in the optimal control problem with a terminal functional

D. V. Kamzolkin

Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: The optimal control problem with a terminal functional is considered. A numerical method for calculation of the value function is proposed. This method is based on Pontryagin' principle. The convergence of the method is proved. Some error estimates are given, depending on the method' parameters. A method is proposed for constructing a program optimal control ensuring the near-optimal functional value.

Keywords: optimal control, value function, Bellman function, Pontryagin maximum principle.

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