The successive approximation procedure for finite-time optimal control of bilinear systems

It is shown that the successive approximation procedure simplifies computations of the optimal solution of a bilinear-quadratic optimal control problem. On the contrary to the results of Hofer and Tibken (1985) where the optimal solution has been obtained in terms of a sequence of the differential Riccati equations, in the presented method only solutions of a sequence of the differential Lyapunov equations are required. A chemical reactor example is used to demonstrate the efficiency of the new method.<
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