Dynamic Programming Techniques for Feedback Control ⋆

Abstract: We consider a dynamic programming approach for solving optimal control problems of sampled continuous-time systems. Robustness to bounded noise and model uncertainties is provided by formulating the problem in the framework of differential games. We use a semi-Lagrangian scheme for the computation of the value function and the state feedback control law for constrained infinite horizon optimal control problems. The approach is illustrated with the optimal control of linear systems and nonlinear systems subject to bounded disturbances