A pseudospectral method for budget-constrained infinite horizon optimal control problems

In this paper a generalization of the indirect pseudo-spectral method, presented in [17], for numerical solution budget-constrained infinite horizon optimal control problems is presented. Consideration problem statement framework weighted functional spaces allows to arrive at good approximation initial value adjoint variable, which inevitable obtaining solutions. The method illustrated by applying it linear-quadratic regulator model. quality approximate solutions demonstrated an example.