This paper deals with differential dynamic programming for solving nonlinear separable programs. The present algorithm and its derivation are rather different from differential dynamic programming algorithms and their derivations by Mayne and Jacobson, who have not proved the convergence of their algorithms. The local convergence of the present algorithm is proved, and numerical examples are given.
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The author would like to express his appreciation to Professors H. Mine and T. Katayama for their helpful discussions. The author is also indebted to Professor D. Q. Mayne for drawing his attention to Refs. 1–2.
Communicated by D. Q. Mayne
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Ohno, K. Differential dynamic programming and separable programs. J Optim Theory Appl 24, 617–637 (1978). https://doi.org/10.1007/BF00935303
- Differential dynamic programming
- nonlinear separable programs
- convergence proofs
- Kuhn-Tucker conditions
- iterative methods
- Newton's method