Cheap Newton Steps for Optimal Control Problems Automatic Di erentiation and Pantoja s Algorithm

@inproceedings{Christianson2010CheapNS,
  title={Cheap Newton Steps for Optimal Control Problems Automatic Di erentiation and Pantoja s Algorithm},
  author={Bruce Christianson},
  year={2010}
}
In this paper we discuss Pantoja's construction of the Newton direction for discrete time optimal control problems. We show that Automatic Diierentiation techniques can be used to calculate the Newton direction accurately, without requiring extensive rewriting of user code, and at a surprisingly low computational cost: for an N-step problem with p control variables and q state variables at each step, the worst case cost is 6(p + q + 1) times the computational cost of a single target function… CONTINUE READING