Dynamic programming, invariant imbedding and quasilinearization: comparisons and interconnections

by Richard Ernest Bellman, Robert E. Kalaba

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A consideration, from several points of view, of a nonlinear two-point boundary value problem arising from a variational context. First a direct computational solution via quasilinearization is discussed. This method is quadratically convergent. Then the boundary value problem is converted into an initial value problem using dynamic programming and invariant imbedding. Some aspects of combining the methods in a single calculation are discussed. This gives rise to attractive predictor-corrector integration schemes. In addition, an alternative to the usual Hamilton-Jacobi integration theory for the integration of the Euler equation is given.

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