Approximate Solutions to the Hamilton-Jacobi Equations for Generating Functions

For a nonlinear finite time optimal control problem, a systematic numerical algorithm to solve the Hamilton-Jacobi equation for a generating function is proposed in this paper. This algorithm allows one to obtain the Taylor series expansion of the generating function up to any prescribed order by solving a sequence of first order ordinary differential equations recursively. Furthermore, the coefficients of the Taylor series expansion of the generating function can be computed exactly under a certain technical condition. Once a generating function is found, it can be used to generate a family of optimal control for different boundary conditions. Since the generating function is computed off-line, the on-demand computational effort for different boundary conditions decreases a lot compared with the conventional method. It is useful to online optimal trajectory generation problems. Numerical examples illustrate the effectiveness of the proposed algorithm.