An LQ approach to constrained nonlinear optimal control problems via Riccati transformation

A new algorithm for numerical solutions of constrained nonlinear optimal control problems has been proposed based on Riccati transformation. First, we approximate the constrained nonlinear optimal control problems by the Taylor expansion technique. Then, constructing the constrained LQ problems as the accessory problems, we analytically solve them via Riccati transformation. Finally, repeating the above procedure, we eventually obtain the optimal solutions for constrained nonlinear optimal control problems. The effectiveness of the proposed algorithm has been demonstrated through simulation.