Optimal Control - Discrete-time Optimal Control

Discrete-time Optimal Control

The examples thus far have shown continuous time systems and control solutions. In fact, as optimal control solutions are now often implemented digitally, contemporary control theory is now primarily concerned with discrete time systems and solutions. The Theory of Consistent Approximations provides conditions under which solutions to a series of increasingly accurate discretized optimal control problem converge to the solution of the original, continuous-time problem. Not all discretization methods have this property, even seemingly obvious ones. For instance, using a variable step-size routine to integrate the problem's dynamic equations may generate a gradient which does not converge to zero (or point in the right direction) as the solution is approached. The direct method RIOTS is based on the Theory of Consistent Approximation.