Recursive Analytic Solution of Nonlinear Optimal Regulators

Abstract: The paper develops an optimal regulator for a general class of multi-input affine nonlinear systems minimizing a nonlinear cost functional with infinite horizon. The cost functional is general enough to enforce saturation limits on the control input if desired. An efficient algorithm utilizing tensor algebra is employed to compute the tensor coefficients of the Taylor series expansion of the value function (i.e., optimal cost-to-go). The tensor coefficients are found by solving a set of nonlinear matrix equations recursively generalizing the well-known linear quadratic solution. The resulting solution generates the optimal controller as a nonlinear function of the state vector up to a prescribed truncation order. Moreover, a complete convergence of the computed solution together with an estimation of its applicability domain are provided to further guide the user. The algorithm's computational complexity is shown to grow only polynomially with respect to the series order. Finally, several nonlinear examples including some with input saturation are presented to demonstrate the efficacy of the algorithm to generate high order Taylor series solution of the optimal controller.