Riccati Recursion for Optimal Control Problems of Nonlinear Switched Systems

We propose an efficient algorithm for the optimal control problems (OCPs) of nonlinear switched systems that optimizes input and switching instants simultaneously a given sequence. consider as optimization variables formulate OCP based on direct multiple shooting method. derive linear equation to be solved in Newton’s method Riccati recursion solve efficiently. The computational time proposed scales linearly with respect number stages horizon standard recursion. Numerical experiments show converges significantly shorter than conventional methods.