An efficient numerical solution for time switching optimal control problems

Document Type : Research Paper


1 Department of Mathematics, Tafresh University, 39518-79611, Tafresh, Iran.

2 Mosaheb Institute of Mathematics, Kharazmi Universtity, No. 50 Taleghani Ave., Tehran, Iran.


In this paper, an efficient computational algorithm for the solution of Hamiltonian boundary value problems arising from bang-bang optimal control problems is presented. For this purpose, at first, based on the Pontryagin’s minimum principle, the first order necessary conditions of optimality are derived. Then, an indirect shooting method with control parameterization, in which the control function is replaced with a piecewise constant function with values and switching points taken as unknown parameters, is presented. Thereby, the problem is converted to the solution of the shooting equation, in which the values of the control function and the switching points as well the initial values of the costate variables are unknown parameters. The important advantages of this method are that, the obtained solution satisfies the first order optimality conditions, further the switching points can be captured accurately which is led to an accurate solution of the bangbang problem. However, solving the shooting equation is nearly impossible without a very good initial guess. So, in order to cope with the difficulty of the initial guess, a homotopic approach is combined with the presented method. Consequently, no priori assumptions are made on the optimal control structure and number of the switching points, and sensitivity to the initial guess for the unknown parameters is resolved too. Illustrative examples are included at the end and efficiency of the method is reported.