Implementation of optimal closed-loop control strategy

A method of online construction of an optimal feedback control for linear and nonlinear systems is proposed. The idea of closed-loop solution is based on constructing a realization of optimal feedback in any concrete control process under unknown but bounded disturbances. The realization of the algorithm of closed-loop solution is oriented on fast corrections of optimal open-loop control subject to small variations of the initial state. This is possible due to the storage of a small amount of additional information allowing to avoid a complete integration of the primal or adjoint system.