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Nonlinear optimal control via occupation measures and LMI-relaxations

Jean-Bernard Lasserre·Didier Henrion·Christophe Prieur·Emmanuel Trélat
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Abstract

We consider the class of nonlinear optimal control problems (OCP) with polynomial data, i.e., the differential equation, state and control con- straints and cost are all described by polynomials, and more generally for OCPs with smooth data. In addition, state constraints as well as state and/or action constraints are allowed. We provide a simple hierarchy of LMI (lin- ear matrix inequality)-relaxations whose optimal values form a nondecreasing sequence of lower bounds on the optimal value. Under some convexity assump- tions, the sequence converges to the optimal value of the OCP. Preliminary results show that good approximations are obtained with few moments.

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Jean-Bernard Lasserre, Didier Henrion, Christophe Prieur, Emmanuel Trélat. 2007-03-13. Nonlinear optimal control via occupation measures and LMI-relaxations. https://arxiv.org/abs/math/0703377

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