Discrete-time optimization

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Magdalin
Magdalin le 2 Mai 2017
Modifié(e) : Magdalin le 18 Mai 2017
In general, for optimal control problems that present systems of ordinary differential equations, for numerical resolution of the optimization problems of a cost function in Continuous time (minimization of the integral of J(u)), I use an iterative method with a 4th order Runge kutta scheme and it works very well.
However, I would like to know how I can solve numerically the same problem if we consider a cost function in Discrete time (minimization of the sum of J(u)).

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