Pseudospectral methods for solving infinite-horizon optimal control problems

An important aspect of numerically approximating the solution of an infinite-horizon optimal control problem is the manner in which the horizon is treated. Generally, an infinite-horizon optimal control problem is approximated with a finite-horizon problem. In such cases, regardless of the finite duration of the approximation, the final time lies an infinite duration from the actual horizon at t = +∞. In this paper we describe two new direct pseudospectral methods using Legendre–Gauss (LG) and Legendre–Gauss–Radau (LGR) collocation for solving infinite-horizon optimal control problems numerically. A smooth, strictly monotonic transformation is used to map the infinite time domain t ∈ [0, ∞) onto a half-open interval τ ∈ [−1, 1). The resulting problem on the finite interval is transcribed to a nonlinear programming problem using collocation. The proposed methods yield approximations to the state and the costate on the entire horizon, including approximations at t = +∞. These pseudospectral methods can be written equivalently in either a differential or an implicit integral form. In numerical experiments, the discrete solution exhibits exponential convergence as a function of the number of collocation points. It is shown that the map φ : [−1, +1) → [0, +∞) can be tuned to improve the quality of the discrete approximation. © 2011 Elsevier Ltd. All rights reserved.