An efficient numerical algorithm for the solution of a class of optimal control problems

A numerical algorithm for the solution of a class of optimal control problems is presented. This class is characterized as being linear-quadratic in the control, but not necessarily in the state. The algorithm is efficient in that it possesses a high rate of convergence (like Newton's method), but without being sensitive to initialization. In this respect, it combines the advantages of both the first- and second-order algorithms within the framework of a single algorithm. In addition, the algorithm requires less computation and storage than Newton's method.<
>