DIFFERENTIAL DYNAMIC PROGRAMMING FOR SOLVING NONLINEAR PROGRAMMING PROBLEMS
Abstract
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Dynamic programming is one of the methods which utilize special structures of large-scale mathematical programming problems. Conventional dynamic programming, however, can hardly solve mathematical programming problems with many constraints. This paper proposes differential dynam
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The purpose of this paper is to draw a detailed comparison between Newton's method, as applied to discrete-time, unconstrained optimal control problems, and the second-order method known as differential dynamic programming (DDP). The main outcomes of the comparison are: (i) DDP d