A three level costate prediction method for continuous dynamical systems

Abstract In this paper a continuous time version of a previous discrete systems optimisation algorithm is developed. The new algorithm uses prediction of costates within a three level structure to provide an efficient organisation of both the storage and the computation. The algorithm which applies to both linear and non linear interconnected dynamical systems has been proved to converge uniformly to the optimum. Two practical examples are given to illustrate the approach The first of a non linear synchronous machine and the other of a 22nd order river pollution system. In each case, the present approach appears to provide faster convergence and smaller storage than previous hierarchical and global methods.