Jump Discontinuous Two Point Boundary Value Problems In Optimal Control

Multiple shooting algorithms are developed for linear two-point boundary value problems (TPBVP´s) in which the state vector is subjected to jump discontinuities at discrete points. These jump-discontinuous TPBVP´s arise in optimal control and optimal estimation. Examples of such problems are given both to motivate the problem and to demonstrate the algorithms. The algorithms convert the TPBVP into a set of linear algebraic equations which may be solved using any linear equation solver. The existence and uniqueness of the solution is proven.