Closed Form Solution to an Optimal Control Problem by Orthogonal Polynomial Expansion

In this study the use of orthogonal polynomials for obtaining a close form solution to optimal control problems with a weighed quadratic cost function, is proposed. The method consists of using the Orthogonal Polynomials for the expansion of the state variables and the control signal. This expansion results in a set of linear equations, from which the closed form solution is obtained. A numerical example is provided to demonstrate the applicability and effectiveness of the proposed method.