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arXiv · 2301.04047

Local Convergence Behaviour of Generalized Gauss-Newton Multiple Shooting, Single Shooting and Differential Dynamic Programming

Katrin Baumgärtner·Florian Messerer·Moritz Diehl
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Abstract

We revisit three classical numerical methods for solving unconstrained optimal control problems - multiple shooting, single shooting, and differential dynamic programming - and examine their local convergence behaviour. In particular, we show that all three methods converge with the same linear rate if a Gauss-Newton (GN), or more general a Generalized Gauss-Newton (GGN), Hessian approximation is used, which is the case in widely used implementations such as iLQR.

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Katrin Baumgärtner, Florian Messerer, Moritz Diehl. 2023-01-10. Local Convergence Behaviour of Generalized Gauss-Newton Multiple Shooting, Single Shooting and Differential Dynamic Programming. https://arxiv.org/abs/2301.04047

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