This directory contains MATLAB software to accompany the CRC Press / Chapman & Hall book
A. Borzi'
The Sequential Quadratic Hamiltonian Method
Solving Optimal Control Problems
1th Edition, CRC Press, 2023.
The sequential quadratic hamiltonian (SQH) method is a novel numerical optimization procedure for solving optimal control problems governed by differential models. It is based on the characterisation of optimal controls in the framework of the Pontryagin maximum principle (PMP).
The SQH method is a powerful computational methodology that is capable of development in many directions. The book discusses its analysis and use in solving nonsmooth ODE control problems, relaxed ODE control problems, stochastic control problems, mixed-integer control problems, PDE control problems, inverse PDE problems, differential Nash game problems, and problems related to residual neural networks.
This book may serve as a textbook for undergraduate and graduate students, and as an introduction for researchers in sciences and engineering who intend to further develop the SQH method or wish to use it as a numerical tool for solving challenging optimal control problems and for investigating the Pontryagin maximum principle on new optimisation problems.
The book is accompanied by codes which allow the reader to apply the SQH method to solve many different optimal control and optimisation problems.
This software is intended for demonstration and instructional purposes only. The author and publishers make no warranty of any kind, expressed or implied, that these programs meet any standards of merchantability for commercial purposes. These codes should not be used as-is for any purpose or application that may result in loss or injury, and the publishers and the author shall not be liable in any event for incidental or consequential damages in connection with or arising out of the furnishing, performance, or use of these programs.
These codes are distributed freely as didactical support to the book. They have been written by me, my students, and other colleagues, may include other sources (mathwork, GitHub, etc.). For explanation of the algorithms and references see the book.
MATLAB is a registered trademark of The Math Works, Inc.
These MATLAB scripts are designed for MATLAB environments. Information on MATLAB can be obtained from The Math Works, Inc. (http://www.mathworks.com/)