Direct trajectory optimization and costate estimation of infinite-horizon optimal control problems using collocation at the flipped legendre-gauss-radau points

A pseudospectral method is presented for direct trajectory optimization and costate estimation of infinite-horizon optimal control problems using global collocation at flipped Legendre-Gauss-Radau points which include the end point +1. A distinctive feature of the method is that it uses a new smooth, strictly monotonically decreasing transformation to map the scaled left half-open interval τ ϵ (-1, +1] to the descending time interval t ϵ (+∞, 0]. As a result, the singularity of collocation at point +1 associated with the commonly used transformation, which maps the scaled right half-open interval τ ϵ [-1, +1) to the increasing time interval [0,+∞), is avoided. The costate and constraint multiplier estimates for the proposed method are rigorously derived by comparing the discretized necessary optimality conditions of a finite-horizon optimal control problem with the Karush-Kuhn-Tucker conditions of the resulting nonlinear programming problem from collocation. Another key feature of the proposed method is that it provides highly accurate approximation to the state and costate on the entire horizon, including approximation at t = +∞, with good numerical stability. Numerical results show that the method presented in this paper leads to the ability to determine highly accurate solutions to infinite-horizon optimal control problems.