An implicit discretization scheme for linear-quadratic control problems with bang-bang solutions
We analyse an implicit discretization scheme for a class of linear-quadratic optimal control problems. First, we show convergence of order O(h) for the optimal values of the objective function, where h is the mesh size. Under the additional assumption that the optimal control has bang-bang structure we show that the discrete and the continuous controls coincide except on a set of measure O(root h).
discretization linear-quadratic optimal control bang-bang control