Leapfrog for Optimal Control

The leapfrog algorithm, so-called because of its geometric nature, for solving a class of optimal control problems is proposed. Initially a feasible trajectory is given and subdivided into smaller pieces. In each subdivision, with the assumption that local optimal controls can easily be calculated, a piecewise-optimal trajectory is obtained. Then the junctions of these smaller pieces of optimal control trajectories are updated through a scheme of midpoint maps. Under some broad assumptions the sequence of trajectories is shown to converge to a trajectory that satisfies the Maximum Principle. The main advantages of the leapfrog algorithm are that (i) it does not need an initial guess for the costates, (ii) the piecewise-optimal trajectory generated in each iteration is feasible. These are illustrated through a numerical implementation of leapfrog on a problem involving the van der Pol system.