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This paper presents a methodology for generating locally optimal control policies for simple hybrid mechanical systems, and illustrates the method on the compass gait biped. Principles from discrete mechanics are utilized to generate optimal control policies as solutions of constrained nonlinear optimization problems. In the context of bipedal walking, this procedure provides a comparative measure of the suboptimality of existing control policies. Furthermore, our methodology can be used as a control design tool; to demonstrate this, we minimize the specific cost of transport of periodic orbits for the compass gait biped, both in the fully actuated and underactuated case.