The Switch Point Algorithm (2011.10022v5)

Abstract: The Switch Point Algorithm is a new approach for solving optimal control problems whose solutions are either singular or bang-bang or both singular and bang-bang, and which possess a finite number of jump discontinuities in an optimal control at the points in time where the solution structure changes. Problems in this class can often be reduced to an optimization over the switching points. Formulas are derived for the derivative of the objective with respect to the switch points, the initial costate, and the terminal time. All these derivatives can be computed simultaneously in just one integration of the state and costate dynamics. Hence, gradient-based unconstrained optimization techniques, including the conjugate gradient method or quasi-Newton methods, can be used to compute an optimal control. The performance of the algorithm is illustrated using test problems with known solutions and comparisons with other algorithms from the literature.