New iterative method to solve optimal control problems with terminal constraints

This paper presents a new iterative method for solving optimal control problems with terminal constraints. The main idea is to use linear approximation to be the state equations and a quadratic approximation to the cost functional, so that each iteration efficient algorithm to solve linear quadratic (LQ) problems can be used to compute incremental corrections to the control signal, to make the terminal state approach the prescribe value. The proposed scheme differ from the neighbor external method because here the exact solution to an approximation is used in an iterative way. The performance of this new method is studied.