A three level costate prediction method for continuous dynamical systems

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 nonlinear interconnected dynamical systems has been proved to converge to the optimum. A practical example is given to illustrate the approach. In the example which is of a nonlinear synchronous machine the present approach appears to provide faster convergence and smaller storage than with previous hierarchical and global methods.