Approximations to Optimal Feedback Control Using a Successive Wavelet Collocation Algorithm
نویسندگان
چکیده
Wavelets, which have many good properties such as time/freqency localization and compact support, are considered for solving the Hamilton-Jacobi-Bellman (HJB) equation as appears in optimal control problems. Specifically, we propose a Successive Wavelet Collocation Algorithm (SWCA) that uses interpolating wavelets in a collocation scheme to iteratively solve the Generalized-Hamilton-Jacobi-Bellman (GHJB) equation and the corresponding optimal control law. Numerical examples illustrate the proposed approach.
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